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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
16 references·16 citing·32 second hopsampled
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks (2009)The information content of implied volati…Variance Risk Premiums (2008)Variance Risk PremiumsThe Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The distribution of realized stock return volatility (2001)The distribution of realized …The relation between implied and realized volatility (1998)The relation between implied …Implied Binomial Trees (1994)Implied Binomial TreesOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Option pricing: A simplified approach (1979)Option pricing: A simplified …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach (2018)Volatility dynamics under an …Volatility measures and Value-at-Risk (2017)Volatility measures and Value…Variance risk in commodity markets (2017)Variance risk in commodity ma…Estimating Beta (2016)Estimating BetaAn International Comparison of Implied, Realized, and GARCH Volatility Forecasts (2016)An International Comparison o…Effects of the US Stock Market Return and Volatility on the VKOSPI (2015)Effects of the US Stock Marke…Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets (2015)Corporate Vulnerability Index…Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2015)Alpha or Beta in the Eye of t…Cash Holdings, Precautionary Motives, and Systematic Uncertainty (2014)Cash Holdings, Precautionary …The importance of the volatility risk premium for volatility forecasting (2013)The importance of the volatil…Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Model-Free Volatility Indexes…Hedge Fund Return Predictability Under the Magnifying Glass (2013)Hedge Fund Return Predictabil…Implied Volatility Index of KOSPI200: Information Contents and Properties (2012)Implied Volatility Index of K…Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns (2010)Relation between time-series …A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices (2010)A Multi-Horizon Comparison of…Predictable dynamics in implied volatility surfaces from OTC currency options (2009)Predictable dynamics in impli…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)An Engine, Not a Camera (2006)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Theory of Financial Decision Making. (1988)Does Algorithmic Trading Improve Liquidity? (2011)The Cross‐Section of Volatility and Expected Returns (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1998The relation between implied and realized volatility

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1,114 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
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    • 2013Hedge Fund Return Predictability Under the Magnifying Glass78 cited
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    • 2010Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns74 cited
    • 2010A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices71 cited
    • 2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
    • 2013The importance of the volatility risk premium for volatility forecasting61 cited
    • 2012Implied Volatility Index of KOSPI200: Information Contents and Properties53 cited
    • 2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts52 cited
    • 2018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach50 cited
    • 2015Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets45 cited
    • 2014Cash Holdings, Precautionary Motives, and Systematic Uncertainty44 cited
    • 2015Effects of the US Stock Market Return and Volatility on the VKOSPI42 cited
    • 2017Volatility measures and Value-at-Risk41 cited
    • 2015Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?38 cited
    • 2009Predictable dynamics in implied volatility surfaces from OTC currency options36 cited