Yes, Implied Volatilities Are Not Informationally Efficient. An Empirical Estimate Using Options on Interest Rate Futures Contracts.-Reference-Cited by-同舟云学术

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Yes, Implied Volatilities Are Not Informationally Efficient. An Empirical Estimate Using Options on Interest Rate Futures Contracts.

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cifarelli Giulio

Publisher

Elsevier BV

Reference42 articles.

1. On the Covariance Matrices used in Value-at-Risk Models;C O Alexander;Journal of Derivatives,1997

2. Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach;K Amin;Review of Financial Studies,1997

3. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation;D W K Andrews;Econometrica,1991

4. Stochastic Volatility and Transaction Time: An Activity -Based Volatility Estimator", mimeo;T An�;Forecasting Financial Markets" 1998 Conference,1998

5. Volatility Forecasting in the Framework of the Option Expiry Cycle;Ap Gwilym;European Journal of Finance,1999

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