Forecasting the term structure of option implied volatility: The power of an adaptive method-Reference-Cited by-同舟云学术

Forecasting the term structure of option implied volatility: The power of an adaptive method

Published:2018-12 Issue: Volume:49 Page:157-177
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Chen Ying,Han Qian,Niu Linlin

Funder

National University of Singapore

Humboldt Universitaet zu Berlin-National University of Singapore Joint Grant

National Natural Science Foundation of China (NSFC)

NSFC

Deutsche Forschungsgemeinschaft, Germany

Fundamental Research Funds for the Central Universities, China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference34 articles.

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2. Prices of state-contingent claims implicit in option prices;Breeden;J. Bus.,1978

3. Expectations hypothesis of the term structure of implied volatility: Evidence from foreign currency and stock index options;Byoun;J. Financ. Econ.,2003

4. Testing the expectations hypothesis on the term structure of volatilities in foreign exchange options;Campa;J. Finance,1995

5. The informational content of implied volatility;Canina;Rev. Financ. Stud.,1993

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