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A source of unbiased implied volatility forecasts

Author

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  • Steven P. Feinstein

Abstract

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Suggested Citation

  • Steven P. Feinstein, 1988. "A source of unbiased implied volatility forecasts," FRB Atlanta Working Paper 88-9, Federal Reserve Bank of Atlanta.
  • Handle: RePEc:fip:fedawp:88-9
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    Citations

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    Cited by:

    1. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
    2. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
    3. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.

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    Keywords

    Stock market;

    Statistics

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