مرکز منطقه ای اطلاع رساني علوم و فناوري - Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Title of article :

Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Author/Authors :

Ralf Becker، نويسنده , , Adam E. Clements، نويسنده , , Scott I. White، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

2535

To page :

2549

Keywords :

Implied Volatility , Information , Volatility models , Volatility forecasts , Realized volatility , Volatilityrisk premium

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194092

Link To Document :