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Citations for "Standard deviations implied in option prices as predictors of future stock price variability"

by Beckers, Stan

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  1. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  2. Christian Walter & Jose Lopez, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
  3. 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.
  4. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  5. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
  6. Owain Ap Gwilym & Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 73-94.
  7. McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010. "A simple expected volatility (SEV) index: Application to SET50 index options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
  8. Engstrom, Malin, 2002. "Do Swedes smile? On implied volatility functions," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 285-304.
  9. Veld, C.H., 1989. "The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests," Research Memorandum FEW 410, Tilburg University, School of Economics and Management.
  10. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
  11. Ben Hunt, 1991. "A Forecasting Model of Option Pricing Volatility," Working Paper Series 10, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. Steven Li & Qianqian Yang, 2009. "The relationship between implied and realized volatility: evidence from the Australian stock index option market," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 405-419, May.
  13. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
  14. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
  15. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  16. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  17. Cabedo, J. David & Moya Clemente, Ismael, 2005. "Implied Volatility as a Predictor: the Case of the IBEX-35 Future Contract/La volatilidad implícita como herramienta de predicción: una aplicación al contrato de futuro sobre Ibex 35," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 67-78, Abril.
  18. Campa, Jose Manuel & Chang, P. H. Kevin, 1998. "The forecasting ability of correlations implied in foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 855-880, December.
  19. Stamey, James & Gerlach, Richard, 2007. "Bayesian sample size determination for case-control studies with misclassification," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2982-2992, March.
  20. Haushalter, G. David & Heron, Randall A. & Lie, Erik, 2002. "Price uncertainty and corporate value," Journal of Corporate Finance, Elsevier, vol. 8(3), pages 271-286, July.
  21. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  22. Christopher J. Neely, 2005. "Using implied volatility to measure uncertainty about interest rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 407-425.
  23. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  24. Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Research Memorandum FEW 479, Tilburg University, School of Economics and Management.
  25. Mantin, Benny & Gillen, David, 2011. "The hidden information content of price movements," European Journal of Operational Research, Elsevier, vol. 211(2), pages 385-393, June.
  26. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
  27. Veld, C.H. & Verboven, A.H.F., 1993. "An empirical analysis of warrant prices versus long term call option prices," Research Memorandum FEW 594, Tilburg University, School of Economics and Management.
  28. Olga Isengildina-Massa & Scott H. Irwin & Darrel L. Good & Jennifer K. Gomez, 2008. "Impact of WASDE reports on implied volatility in corn and soybean markets," Agribusiness, John Wiley & Sons, Ltd., vol. 24(4), pages 473-490.
  29. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  30. Pilar Corredor-Casado & Rafael Santamaría-Aquilué, 2000. "La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 385-417, May.
  31. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  32. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  33. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
  34. Smith, Paul & Gronewoller, Paul & Rose, Lawrence C., 1998. "Pricing efficiency on the New Zealand Futures and Options Exchange," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 49-62, January.
  35. Fengler, Matthias R. & Wang, Qihua, 2003. "Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface," SFB 373 Discussion Papers 2003,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  36. Veld, C.H., 1991. "Motives for the use of equity-warrants by Dutch companies," Research Memorandum FEW 503, Tilburg University, School of Economics and Management.
  37. Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
  38. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
  39. Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
  40. Alok Kumar Mishra & Siba Prasad Panda, 2016. "Looking into the relationship between implied and realized volatility: a study on S&P CNX Nifty index option," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 67-96, April.
  41. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(2), October.
  42. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2015. "Accounting quality, information risk and implied volatility around earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 188-207.
  43. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
  44. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 163-185, September.
  45. Horst Rottmann & Franz Seitz, 2004. "Credit Spreads und ihre Determinanten in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(24), pages 10-14, December.
  46. Singh Vipul Kumar, 2014. "Competency of Monte Carlo and Black–Scholes in pricing Nifty index options: A vis-à-vis study," Monte Carlo Methods and Applications, De Gruyter, vol. 20(1), pages 61-76, March.
  47. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
  48. Szakmary, Andrew & Ors, Evren & Kyoung Kim, Jin & Davidson, Wallace III, 2003. "The predictive power of implied volatility: Evidence from 35 futures markets," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2151-2175, November.
  49. Pilar Corredor Casado & Rafael SantamarÌa, "undated". "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA.
  50. Lan Zhang, 2012. "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, vol. 8(2), pages 259-275, May.
  51. Neuhaus, Holger, 1995. "Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten," Discussion Paper Series 1: Economic Studies 1995,03, Deutsche Bundesbank, Research Centre.
  52. Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  53. Neuhaus, Holger, 1995. "The information content of derivatives for monetary policy: Implied volatilities and probabilities," Discussion Paper Series 1: Economic Studies 1995,03e, Deutsche Bundesbank, Research Centre.
  54. Kent Wang, 2009. "Volatility linkages of the equity, bond and money markets: an implied volatility approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(1), pages 207-219.
  55. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," Illinois Agricultural Economics Staff Paper 244666, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  56. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
  57. Brown, C. A. & Taylor, S. D., 1997. "A test of the Asay model for pricing options on the SPI futures contract," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 579-594, December.
  58. Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
  59. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  60. Heping Pan, 2012. "Yin-yang volatility in scale space of price-time: a core structure of financial market risk," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 377-405, August.
  61. Vipul Kumar Singh, 2013. "Effectiveness of volatility models in option pricing: evidence from recent financial upheavals," Journal of Advances in Management Research, Emerald Group Publishing, vol. 10(3), pages 352-375, October.
  62. Guan Wang & Pierre Yourougou & Yue Wang, 2012. "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 93-105, January.
  63. Donders, Monique W. M. & Vorst, Ton C. F., 1996. "The impact of firm specific news on implied volatilities," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1447-1461, November.
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