Forecasting future volatility from option prices, Working (2000)

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by Allen M. Poteshman
Citations:10 - 1 self

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September 2000Forecasting Future Variance from Option Prices – Allen M. Poteshman, Mark R. Manfredo, Allen M. Poteshman, Allen M. Poteshman, Champaign Helpful, Jegadeesh Narasimhan - 2000
4 Variance Risk Premia – Peter Carr, Liuren Wu - 2004
4 Using Implied Volatility to Measure Uncertainty About Interest Rates.” Federal Reserve – Christopher J. Neely
WORKING PAPER SERIES Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter? – Christopher J. Neely - 2002
59 Testing Option Pricing Models – David S. Bates
By Stephen Ferris* – Department Of Finance, Stephen Ferris, Weiyu Guo
PRELIMINARY. PLEASE DO NOT QUOTE WITHOUT PERMISSION. – Mikhail Chernov, Luca Benzoni, Eric Ghysels, Larry Glosten, Bob Hodrick, Gur Huberman, Risk Premia, Returns Variability - 2000
c ING Group Credit Risk Managemen t, The Netherlands. – Siem Jan Koopman A, Borus Jungbacker A, Eugenie Hol C, Eugenie Hol (c - 2004
Assistants to Editors – Charalambos Louca, Raghava Rao Gundala, Christina Frangou, Arie De Ruijter, Demetris Vrontis Intercollege, Maria Anastasiadou, Maria Botonaki, Stalo Papadopoulou
1 HOW DOES THE VOLATILITY RISK PREMIUM AFFECT THE INFORMATIONAL CONTENT OF CURRENCY OPTIONS? – Peter Breuer
3 Forecasting the variability of stock index returns with stochastic volatility models and implied volatility – Eugenie Hol, Siem Jan Koopman - 2002
The Quality Of Market Volatility Forecasts . . . – Jeff Fleming - 1998
1 Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices – Sheri M. Markose, Yue Peng, Amadeo Alentorn
2 Robust replication of volatility derivatives – Peter Carr, Roger Lee, We Thank Peter Friz, Alireza Javaheri, Dilip Madan, Jeremy Staum - 2003
and – George J. Jiang, Yisong S. Tian - 2003
2 Volatility Forecasts, Trading Volume and the ARCH versus Option-Implied Volatility Trade-Off – R. Glen Donaldson, Mark J. Kamstra - 2004
3 Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface”, working paper – Massimo Guidolin - 2003
WORKING PAPER SERIES Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface – Silvia Gonçalves, Massimo Guidolin, Massimo Guidolin - 2004
88 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002