The relationship between implied and realized volatility: evidence from the Australian stock index option market
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Volume (Year): 32 (2009)
Issue (Month): 4 (May)
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- Russell Davidson & James G. MacKinnon, 1987.
"Testing for Consistency using Artificial Regressions,"
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- 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.
- Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
- 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.
- 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.
- 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 369-381, May.
- 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.
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