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Forward/forward volatilities and the term structure of implied volatility


  • Owain Ap Gwilym
  • Mike Buckle


Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

Suggested Citation

  • Owain Ap Gwilym & Mike Buckle, 1997. "Forward/forward volatilities and the term structure of implied volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 325-328.
  • Handle: RePEc:taf:apeclt:v:4:y:1997:i:5:p:325-328 DOI: 10.1080/758532602

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    References listed on IDEAS

    1. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-181, March.
    2. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    3. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
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