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Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods

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  • Yuanyuan Zhang
  • Stephen J. Taylor
  • Lili Wang

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  • Yuanyuan Zhang & Stephen J. Taylor & Lili Wang, 2013. "Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1071-1095, November.
    • Handle: RePEc:wly:jfutmk:v:33:y:2013:i:11:p:1071-1095
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    File URL: http://hdl.handle.net/10.1002/fut.21570
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    Cited by:

    1. Xingzhi Yao & Marwan Izzeldin, 2018. "Forecasting using alternative measures of model‐free option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 199-218, February.
    2. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.

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