Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options-Reference-Cited by-同舟云学术

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Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options

Published:2003-03-01 Issue:1 Volume:1 Page:126-151
ISSN:1479-8409
Container-title:Journal of Financial Econometrics
language:en
Short-container-title:Journal of Financial Econometrics

Author:

Byoun S.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Link

http://academic.oup.com/jfec/article-pdf/1/1/126/2749546/nbg003.pdf

Cited by 11 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. A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface;Journal of Risk and Financial Management;2020-11-19

2. VIX futures term structure and the expectations hypothesis;Quantitative Finance;2019-11-27

3. The Term Structure of Option-Implied Volatility and Future Realized Volatility;Emerging Markets Finance and Trade;2019-06-11

4. The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components;Journal of Futures Markets;2014-02-19

5. The term structure of S&P 100 model-free volatilities;Quantitative Finance;2013-07

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