A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility
Author:
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference25 articles.
1. The relation between implied and realized volatility;Christensen;J. Financ. Econ.,1998
2. On the volatility of volatility;Hsu;Physica A,2007
3. Standard deviations of stock price ratios implied in option prices;Latane;J. Finance,1976
4. The information content of option prices and a test of market efficiency;Chiras;J. Financ. Econ.,1978
5. Standard deviation implied in options prices as prdictors of future stock price variability;Beckers;J. Bank. Finance,1981
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