Predictive power of the implied volatility term structure in the fixed‐income market-Reference-Cited by-同舟云学术

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Predictive power of the implied volatility term structure in the fixed‐income market

Published:2022-11-22 Issue:3 Volume:43 Page:349-383
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Chen Ren‐Raw¹^ORCID,Hsieh Pei‐Lin²^ORCID,Huang Jeffrey³,Li Xiaowei⁴

Affiliation:

1. Department of finance and business economics Gabelli School of Business Fordham University New York New York USA

2. Department of Finance, School of Management National Central University Taoyuan R.O.C.

3. Bank SinoPac Taipei R.O.C.

4. Department of Finance School of Economics Xiamen University Xiamen China

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22386

Reference58 articles.

1. Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach

2. The Cross-Section of Volatility and Expected Returns

3. Real-Time Measurement of Business Conditions

4. Bali T. Hu J. &Murray S.(2019).Option implied volatility skewness and kurtosis and the cross‐section of expected stock returns [Working Paper].

5. Expected Stock Returns and Variance Risk Premia

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1. VIX constant maturity futures trading strategy: A walk-forward machine learning study;PLOS ONE;2024-04-19

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