The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components-Reference-Cited by-同舟云学术

The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components

Published:2014-02-19 Issue:8 Volume:34 Page:788-806
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Guo Biao¹,Han Qian²,Zhao Bin³

Affiliation:

1. Biao Guo is Assistant Professor of Finance at the School of Finance & China; Financial Policy Research Center; Renmin University of China; Beijing China

2. Qian Han is Assistant Professor of Finance at the Wang Yanan Institute for Studies in Economics (WISE); Xiamen University; Fujian Province China

3. Bin Zhao is Assistant Professor of Finance at the Shanghai Advanced Institute of Finance (SAIF); Shanghai Jiaotong University; Shanghai China

Funder

Fujian Soft Science Research Project Grant

Publisher

Wiley

Subject

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

Reference25 articles.

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2. Post-87 crash fears in S&P 500 futures options;Bates;Journal of Econometrics,2000

3. Bekaert , G. Hoerova , M. Duca , M. 2010

4. Expectations hypothesis of the term structure of implied volatility: Evidence from foreign currency and stock index options;Byoun;Journal of Financial Econometrics,2003

5. How important is the term structure in implied volatility modelling: Evidence from foreign exchange options;Chalamandaris;Journal of International Money and Finance,2011

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