A Simultaneous Equation Approach on the Relationship between Implied, Realised and Historical Volatility-Reference-Cited by-同舟云学术

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A Simultaneous Equation Approach on the Relationship between Implied, Realised and Historical Volatility

Published:2013-06 Issue:2 Volume:9 Page:139-155
ISSN:2319-510X
Container-title:Asia-Pacific Journal of Management Research and Innovation
language:en
Short-container-title:Asia-Pacific Journal of Management Research and Innovation

Author:

Shaikh Imlak¹,Padhi Puja²

Affiliation:

1. Imlak Shaikh, Doctoral student, Department of Humanities and Social Sciences, Indian Institute of Technology Bombay, Mumbai – 400 076, India.

2. Puja Padhi, Assistant Professor, Department of Humanities and Social Sciences, Indian Institute of Technology Bombay, Mumbai – 400 076, India.

Publisher

SAGE Publications

Link

http://journals.sagepub.com/doi/pdf/10.1177/2319510X13504282

Reference27 articles.

1. On the informational efficiency of S&P500 implied volatility

2. Standard deviations implied in option prices as predictors of future stock price variability

3. The Informational Content of Implied Volatility

4. The information content of option prices and a test of market efficiency

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