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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Citations

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Cited by:

  1. Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
  2. Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, vol. 24(4), pages 728-743.
  3. Eleftheria Kafousaki & Stavros Degiannakis, 2023. "Forecasting VIX: the illusion of forecast evaluation criteria," Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
  4. Li, Yan & Huynh, Luu Duc Toan & Xu, Yongan & Liang, Hao, 2023. "The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures," Energy Economics, Elsevier, vol. 127(PB).
  5. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
  6. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
  7. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  8. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  9. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
  10. Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
  11. Lu, Xinjie & Ma, Feng & Wang, Jianqiong & Dong, Dayong, 2022. "Singlehanded or joint race? Stock market volatility prediction," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 734-754.
  12. Seul-Ki Park & Ji-Eun Choi & Dong Wan Shin, 2017. "Value at risk forecasting for volatility index," Applied Economics Letters, Taylor & Francis Journals, vol. 24(21), pages 1613-1620, December.
  13. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
  14. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
  15. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
  16. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
  17. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  18. Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  19. Andrew J. Patton & Kevin Sheppard, 2015. "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 683-697, July.
  20. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
  21. Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
  22. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  23. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  24. Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
  25. Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  26. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  27. Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2021. "Volatility forecasting in European government bond markets," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1691-1709.
  28. repec:hal:journl:peer-00741630 is not listed on IDEAS
  29. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  30. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
  31. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
  32. Simard Clarence & Rémillard Bruno, 2015. "Forecasting time series with multivariate copulas," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-24, May.
  33. Alexander Kempf & Olaf Korn & Sven Saßning, 2015. "Portfolio Optimization Using Forward-Looking Information," Review of Finance, European Finance Association, vol. 19(1), pages 467-490.
  34. Min Liu & Wei‐Chong Choo & Chi‐Chuan Lee & Chien‐Chiang Lee, 2023. "Trading volume and realized volatility forecasting: Evidence from the China stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 76-100, January.
  35. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
  36. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
  37. Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).
  38. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
  39. Dudley Gilder & Leonidas Tsiaras, 2020. "Volatility forecasts embedded in the prices of crude‐oil options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1127-1159, July.
  40. Luo, Xingguo & Ye, Zinan, 2015. "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, vol. 15(C), pages 68-77.
  41. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
  42. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2011. "Option-Implied Measures of Equity Risk," Review of Finance, European Finance Association, vol. 16(2), pages 385-428.
  43. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
  44. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
  45. Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
  46. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
  47. Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
  48. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
  49. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
  50. Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, vol. 40(C), pages 586-597.
  51. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  52. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
  53. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
  54. Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
  55. Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
  56. František Čech & Jozef Baruník, 2019. "Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1167-1189, September.
  57. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
  58. Gkillas Konstantinos & Gupta Rangan & Vortelinos Dimitrios I., 2023. "Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(1), pages 25-47, February.
  59. Annalisa Molino & Carlo Sala, 2021. "Forecasting value at risk and conditional value at risk using option market data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1190-1213, November.
  60. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
  61. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
  62. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  63. Keith Pilbeam & Kjell Langeland, 2015. "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, vol. 12(1), pages 127-142, March.
  64. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020. "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
  65. Kim Christensen & Mathias Siggaard & Bezirgen Veliyev, 2021. "A machine learning approach to volatility forecasting," CREATES Research Papers 2021-03, Department of Economics and Business Economics, Aarhus University.
  66. S. Muzzioli, 2010. "Option-based forecasts of volatility: an empirical study in the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 561-586.
  67. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
  68. Nabil Maghrebi & Mark J. Holmes & Kosuke Oya, 2014. "Financial instability and the short-term dynamics of volatility expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 24(6), pages 377-395, March.
  69. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  70. Mueller, Philippe & Vedolin, Andrea & Yen, Yu-Min, 2012. "Bond variance risk premia," LSE Research Online Documents on Economics 119053, London School of Economics and Political Science, LSE Library.
  71. Feng Ma & Yu Wei & Wang Chen & Feng He, 2018. "Forecasting the volatility of crude oil futures using high-frequency data: further evidence," Empirical Economics, Springer, vol. 55(2), pages 653-678, September.
  72. Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh, 2014. "Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 15-22, May.
  73. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  74. Ji‐Eun Choi & Dong Wan Shin, 2018. "Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 691-704, September.
  75. Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
  76. G.M. Gallo & D. Lacava & E. Otranto, 2023. "Volatility jumps and the classification of monetary policy announcements," Working Paper CRENoS 202306, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  77. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
  78. Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
  79. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
  80. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  81. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
  82. Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
  83. Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2022. "Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?," Journal of Financial Markets, Elsevier, vol. 57(C).
  84. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
  85. Rainer Baule & Olaf Korn & Sven Saßning, 2016. "Which Beta Is Best? On the Information Content of Option†implied Betas," European Financial Management, European Financial Management Association, vol. 22(3), pages 450-483, June.
  86. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
  87. Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
  88. Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
  89. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
  90. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  91. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  92. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  93. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
  94. Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
  95. Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
  96. Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2021. "VCRIX — A volatility index for crypto-currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
  97. Peters, R. & van der Weide, R., 2012. "Volatility: Expectations and Realizations," CeNDEF Working Papers 12-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  98. Yun, Jaeho, 2020. "Variance risk premium in a small open economy with volatile capital flows: The case of Korea," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 105-125.
  99. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
  100. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
  101. Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  102. Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
  103. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
  104. Qi Xu & Ying Wang, 2021. "Managing volatility in commodity momentum," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 758-782, May.
  105. Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  106. Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
  107. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Leibniz Institute for Financial Research SAFE.
  108. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
  109. Luo, Xingguo & Qin, Shihua & Ye, Zinan, 2016. "The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market," Finance Research Letters, Elsevier, vol. 19(C), pages 105-111.
  110. Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon, 2014. "Currency jumps and crises: Do developed and emerging market currencies jump together?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 132-157.
  111. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  112. Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2021. "FX market volatility modelling: Can we use low-frequency data?," Finance Research Letters, Elsevier, vol. 40(C).
  113. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
  114. Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, vol. 81(C), pages 639-649.
  115. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.
  116. Hwang, Eunju & Shin, Dong Wan, 2015. "A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 167-176.
  117. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
  118. Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
  119. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
  120. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
  121. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
  122. Ho, Hwai-Chung & Tsai, Wei-Che, 2020. "Price delay and post-earnings announcement drift anomalies: The role of option-implied betas," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  123. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  124. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
  125. Brigida, Matt & Pratt, William R., 2017. "Fake news," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 564-573.
  126. Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
  127. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
  128. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
  129. Dimos Kambouroudis & David McMillan & Katerina Tsakou, 2019. "Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility," Working Papers 2019-03, Swansea University, School of Management.
  130. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
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