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On the informational efficiency of S&P500 implied volatility

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  • Becker, Ralf
  • Clements, Adam E.
  • White, Scott I.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 17 (2006)
Issue (Month): 2 (August)
Pages: 139-153

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Handle: RePEc:eee:ecofin:v:17:y:2006:i:2:p:139-153

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Web page: http://www.elsevier.com/locate/inca/620163

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Cited by:
  1. Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  2. Bentes, Sonia R. & Menezes, Rui, 2013. "On the predictability of realized volatility using feasible GLS," Journal of Asian Economics, Elsevier, vol. 28(C), pages 58-66.
  3. Garvey, John & Gallagher, Liam A., 2013. "The economics of data: Using simple model-free volatility in a high-frequency world," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 370-379.
  4. Bentes, Sonia R & Menezes, Rui, 2012. "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper 42193, University Library of Munich, Germany.
  5. Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
  6. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  7. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw.
  8. Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
  9. Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013. "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Society for Computational Economics, vol. 42(4), pages 471-490, December.

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