Predictable Dynamics in the Implied Volatility Surface Based on Weighted Least Squares: Evidence from Soybean Meal Futures Options in China-Reference-Cited by-同舟云学术

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Predictable Dynamics in the Implied Volatility Surface Based on Weighted Least Squares: Evidence from Soybean Meal Futures Options in China

Published:2019-05-22 Issue:11 Volume:56 Page:2625-2638
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Sui Cong¹,Lung Peter²,Yang Mo³

Affiliation:

1. Collaborative Innovation Center for Transport Studies, School of Maritime Economics and Management, Dalian Maritime University, Dalian, China

2. Daniel College of Business, University of Denver, Denver, USA

3. School of Finance, Dongbei University of Finance and Economics, Dalian, China

Funder

National Nature Science Foundation of China

Youth Foundation of Humanities

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2019.1616543

Reference25 articles.

1. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests

2. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?

3. Bollen, N., and R. Whaley. 2004. Does net buying pressure affect the shape of implied volatility functions? The Journal of Finance 59 (2):711–753.

4. VAR Modeling for Dynamic Loadings Driving Volatility Strings

5. Analyzing volatility risk and risk premium in option contracts: A new theory

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market;Journal of Futures Markets;2024-02-18

2. Hidden Markov model-based modeling and prediction for implied volatility surface1;Journal of Intelligent & Fuzzy Systems;2023-12-02

3. Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach;Journal of Futures Markets;2023-07-14

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