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

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Author Info
Chiras, Donald P.
Manaster, Steven
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45KRN51-6N/2/bb31801b340563854d5e0f6aaf90d819
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 6 (1978)
Issue (Month): 2-3 ()
Pages: 213-234
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Handle: RePEc:eee:jfinec:v:6:y:1978:i:2-3:p:213-234

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis. [Downloadable!]
  2. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute. [Downloadable!]
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  3. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
  4. José Manuel Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," Working Papers 99-08, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
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  5. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Pilar Corredor Casado & Rafael Santamaría, . "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA. [Downloadable!]
  8. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 302-321, September. [Downloadable!] (restricted)
  9. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Armando Méndez Morales & Jorge A. Chan-Lau, 2003. "Testing the Informational Efficiency of OTC Options on Emerging Market Currencies," IMF Working Papers 03/1, International Monetary Fund. [Downloadable!]
  11. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
  12. Owain Ap Gwilym, Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 73-94, March. [Downloadable!] (restricted)
  13. Charles Corrado & Cameron Truong, 2004. "Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range," Research Paper Series 127, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  14. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy. [Downloadable!]
  15. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
  16. F. De Roon, C. Veld, J. Wei, 1998. "A study on the efficiency of the market for Dutch long-term call options," European Journal of Finance, Taylor and Francis Journals, vol. 4(2), pages 93-111, June. [Downloadable!] (restricted)
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  17. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA. [Downloadable!]
  18. Robert E.J. Hibbard & Rob Brown & Keith R. McLaren, 2002. "Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence," Monash Econometrics and Business Statistics Working Papers 13/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  19. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA. [Downloadable!]
  20. Christian Dunis & Jason Laws & Stéphane Chauvin, 2003. "FX volatility forecasts and the informational content of market data for volatility," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 242-272, June. [Downloadable!] (restricted)
  21. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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