Uncertainty and the volatility forecasting power of option‐implied volatility-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Uncertainty and the volatility forecasting power of option‐implied volatility

Published:2020-03-27 Issue:7 Volume:40 Page:1109-1126
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Jeon Byounghyun¹,Seo Sung Won²,Kim Jun Sik³^ORCID

Affiliation:

1. College of Business AdministrationMarquette UniversityMilwaukee Wisconsin

2. Department of Business AdministrationKonkuk UniversityGwangjin‐gu Seoul Republic of Korea

3. Division of International TradeIncheon National UniversityYeonsu‐gu Incheon Republic of Korea

Funder

Incheon National University

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22116

Reference66 articles.

1. A Bayesian model of Knightian uncertainty

2. The impact of risk and uncertainty on expected returns☆

3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

4. The distribution of realized stock return volatility

5. The Distribution of Realized Exchange Rate Volatility

Cited by 15 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. Option‐Implied Ambiguity and Equity Return Predictability;Journal of Futures Markets;2024-07-11

2. Uncertainty measure: As a proxy for the degree of market imperfection;International Review of Economics & Finance;2024-01

3. Forecasting the equity premium using weighted regressions: Does the jump variation help?;Empirical Economics;2023-11-15

4. Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity;Journal of Futures Markets;2023-11-06

5. On the Exchange Rate Dynamics of the Norwegian Krone;Journal of Risk and Financial Management;2023-06-25

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3