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The relationship between implied and realized volatility: evidence from the Australian stock index option market

  • Steven Li

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  • Qianqian Yang
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    File URL: http://hdl.handle.net/10.1007/s11156-008-0099-2
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    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 32 (2009)
    Issue (Month): 4 (May)
    Pages: 405-419

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    Handle: RePEc:kap:rqfnac:v:32:y:2009:i:4:p:405-419
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102990

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    1. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    2. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-81, May.
    3. Charlotte Strunk Hansen, 2001. "The relation between implied and realised volatility in the Danish option and equity markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(3), pages 197-228.
    4. Bent Jesper Christensen & Charlotte Strunk Hansen, 2002. "New evidence on the implied-realized volatility relation," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 187-205, June.
    5. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(03), pages 363-384, December.
    6. French, Dan W., 1984. "The weekend effect on the distribution of stock prices : Implications for option pricing," Journal of Financial Economics, Elsevier, vol. 13(4), pages 547-559, December.
    7. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
    8. Szakmary, Andrew & Ors, Evren & Kyoung Kim, Jin & Davidson, Wallace III, 2003. "The predictive power of implied volatility: Evidence from 35 futures markets," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2151-2175, November.
    9. Lamoureux, Christopher G & Lastrapes, William D, 1993. "Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 293-326.
    10. Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-81.
    11. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
    12. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
    13. Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-28, June.
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