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The Implied Volatility of Australian Index Options
16 references·4 citing·43 second hop
The Implied Volatility of Australian Index Options (2008)The Implied Volatility of Australian Inde…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Predicting stock market volatility: A new measure (1995)Predicting stock market volat…The Informational Content of Implied Volatility (1993)The Informational Content of …Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock return variances (1986)Stock return variancesThe stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ (2018)KORKU ENDEKSİ (VIX) İLE BIST …The forecasting performance of implied volatility index: evidence from India VIX (2014)The forecasting performance o…A first look at the properties of India's volatility index (2012)A first look at the propertie…Modelling Australian stock market volatility (2011)Modelling Australian stock ma…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Risk measurement when shares are subject to infrequent trading (1979)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Dynamic Volume-Return Relation of Individual Stocks (2002)Efficiency and the Bear: Short Sales and Markets Around the World (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1986Stock return variances1,813 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited

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1995
Predicting stock market volatility: A new measure
538 cited

Cited by

  • 2012A first look at the properties of India's volatility index34 cited
  • 2018KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ33 cited
  • 2011Modelling Australian stock market volatility31 cited
  • 2014The forecasting performance of implied volatility index: evidence from India VIX24 cited