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Citations for "The information content of option prices and a test of market efficiency"

by Chiras, Donald P. & Manaster, Steven

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September. [Downloadable!] (restricted)
  2. 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)
  3. 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!]
  4. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA. [Downloadable!]
  5. Steven Li & Qianqian Yang, 2009. "The relationship between implied and realized volatility: evidence from the Australian stock index option market," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 405-419, May. [Downloadable!] (restricted)
  6. Jose M. 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," NBER Working Papers 6929, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. 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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  8. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
  9. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. 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!]
  11. 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!]
  12. Cabedo, J. David & Moya Clemente, Ismael, 2005. "Implied Volatility as a Predictor: the Case of the IBEX-35 Future Contract/La volatilidad implícita como herramienta de predicción: una aplicación al contrato de futuro sobre Ibex 35," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 67-78, Abril. [Downloadable!] (restricted)
  13. 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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  14. 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)
  15. 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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  16. Michael Boluch & Trevor Chamberlain, 1997. "Option volume and stock price behavior: Some evidence from the Chicago board options exchange," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(4), pages 358-370, December. [Downloadable!] (restricted)
  17. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
  18. 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!]
  19. 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!]
  20. 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!]
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  21. 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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  22. 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)
  23. 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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  24. 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, revised 14 Jun 2008. [Downloadable!]
  25. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA. [Downloadable!]
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This page was last updated on 2009-12-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.