The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market-Reference-Cited by-同舟云学术

The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market

Published:2007-02 Issue:1 Volume:89 Page:1-11
ISSN:0002-9092
Container-title:American Journal of Agricultural Economics
language:en
Short-container-title:American Journal of Agricultural Economics

Author:

Egelkraut Thorsten M.¹,Garcia Philip²,Sherrick Bruce J.²

Affiliation:

1. Department of Agricultural and Resource EconomicsOregon State University

2. Center for Farm and Rural Business Finance in the Department of Agricultural and Consumer EconomicsUniversity of Illinois at Urbana‐Champaign

Publisher

Wiley

Subject

Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1467-8276.2007.00958.x

Reference34 articles.

1. Some determinants of the volatility of futures prices

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. Black F.Studies of Stock Price Volatility Changes1976In Proceedings of the 1976 Meetings of the American Statistical AssociationWashington DC177–81Business and Economic Statistic Section

4. The Pricing of Options and Corporate Liabilities

5. Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options

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