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Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*

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References

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1998The quality of market volatility forecasts implied by S&P 100 index option prices

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476 cited

Cited by

2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options99 cited
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2016Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices50 cited
2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests50 cited
2009The dynamics of the volatility skew: A Kalman filter approach43 cited
2010The role of trading volume in volatility forecasting42 cited
2008The economic value of volatility transmission between the stock and bond markets40 cited
2009Predictable dynamics in implied volatility surfaces from OTC currency options36 cited
2021The implied volatility smirk in the Chinese equity options market32 cited
2015How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns32 cited
2007Modeling and Forecasting the VIX Index32 cited
2011Are Freight Futures Markets Efficient? Evidence from IMAREX31 cited
2011How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options29 cited
2009Semi-parametric forecasts of the implied volatility surface using regression trees27 cited
2012Empirical performance of a spline-based implied volatility surface25 cited