Historic risk and implied volatility

Global Finance Journal - Tập 45 - Trang 100475 - 2020
Mehmet F. Dicle1, John Levendis1
1Loyola University New Orleans, College of Business, 6363 St. Charles Avenue, Box 15, New Orleans, LA 70118, United States of America

Tài liệu tham khảo

Aggarwal, 1999, Volatility in emerging stock markets, Journal of Financial and Quantitative Analysis, 34, 33, 10.2307/2676245 Agnolucci, 2009, Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models, Energy Economics, 31, 316, 10.1016/j.eneco.2008.11.001 Alizadeh, 2002, Range-based estimation of stochastic volatility models, The Journal of Finance, 57, 1047, 10.1111/1540-6261.00454 Baillie, 1990, Stock returns and volatility, Journal of Financial and Quantitative Analysis, 25, 203, 10.2307/2330824 Bates, 1991, The crash of 87: Was it expected? The evidence from options markets, The Journal of Finance, 46, 1009, 10.1111/j.1540-6261.1991.tb03775.x Bates, 2000, Post-'87 crash fears in the S&P 500 futures option market, Journal of Econometrics, 94, 181, 10.1016/S0304-4076(99)00021-4 Becker, 2015, Selecting volatility forecasting models for portfolio allocation purposes, International Journal of Forecasting, 31, 849, 10.1016/j.ijforecast.2013.11.007 Berg, 2005, Assessing early warning systems: How have they worked in practice?, IMF Staff Papers, 52, 462 Black, 1973, The pricing of options and corporate liabilities, The Journal of Political Economy, 81, 637, 10.1086/260062 Blair, 2010, Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns, 1333 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Bollerslev, 2016, Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, 192, 1, 10.1016/j.jeconom.2015.10.007 Busch, 2011, The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets, Journal of Econometrics, 160, 48, 10.1016/j.jeconom.2010.03.014 Canina, 1993, The informational content of implied volatility, The Review of Financial Studies, 6, 659, 10.1093/rfs/5.3.659 Celik, 2014, Volatility forecasting using high frequency data: Evidence from stock markets, Economic Modelling, 36, 176, 10.1016/j.econmod.2013.09.038 Chang, 1999, Methodical madness: Technical analysis and the irrationality of exchange-rate forecasts, The Economic Journal, 109, 636, 10.1111/1468-0297.00466 Charoenwong, 2009, Who knows more about future currency volatility?, Journal of Futures Markets, 29, 270, 10.1002/fut.20351 Cheng, 2012, The information content of model-free implied volatility, Journal of Futures Markets, 32, 792 Chkili, 2014, Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory, Energy Economics, 41, 1, 10.1016/j.eneco.2013.10.011 Christensen, 1998, The relation between implied and realized volatility, Journal of Financial Economics, 50, 125, 10.1016/S0304-405X(98)00034-8 Cox, 1979, Option pricing: A simplified approach, Journal of Financial Economics, 7, 229, 10.1016/0304-405X(79)90015-1 Day, 1992, Stock market volatility and the information content of stock index options, Journal of Econometrics, 52, 267, 10.1016/0304-4076(92)90073-Z Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica: Journal of the Econometric Society, 50, 987, 10.2307/1912773 Fama, 1965, The behavior of stock-market prices, The Journal of Business, 38, 34, 10.1086/294743 Fama, 1965, Random walks in stock market prices, Financial Analysts Journal, 21, 55, 10.2469/faj.v21.n5.55 Fama, 1976, Inflation uncertainty and expected returns on treasury bills, Journal of Political Economy, 84, 427, 10.1086/260453 Fama, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9 Fernandes, 2014, Modeling and predicting the CBOE market volatility index, Journal of Banking & Finance, 40, 1, 10.1016/j.jbankfin.2013.11.004 Fleming, 1998, The quality of market volatility forecasts implied by S&P 100 index option prices, Journal of Empirical Finance, 5, 317, 10.1016/S0927-5398(98)00002-4 Forsberg, 2007, Why do absolute returns predict volatility so well, Journal of Financial Econometrics, 5, 31, 10.1093/jjfinec/nbl010 Frijns, 2010, The information content of implied volatility: Evidence from Australia, Journal of Futures Markets, 30, 134 Garman, 1980, On the estimation of security price volatilities from historical data, Journal of Business, 53, 67, 10.1086/296072 Granger, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica: Journal of the Econometric Society, 37, 424, 10.2307/1912791 Harvey, 1992, Market volatility prediction and the efficiency of the S&P 100 index option market, Journal of Financial Economics, 31, 43, 10.1016/0304-405X(92)90011-L Hattori, 2017, The predictive power of the implied volatility of interest rates: Evidence from USD, EUR, and JPY swaption, The Journal of Fixed Income, 27, 67, 10.3905/jfi.2017.27.1.067 Haugom, 2014, Forecasting volatility of the US oil market, Journal of Banking & Finance, 47, 1, 10.1016/j.jbankfin.2014.05.026 Hull, 1987, The pricing of options on assets with stochastic volatilities, The Journal of Finance, 42, 281, 10.1111/j.1540-6261.1987.tb02568.x Jiang, 2005, The model-free implied volatility and its information content, The Review of Financial Studies, 18, 1305, 10.1093/rfs/hhi027 Jorion, 1995, Predicting volatility in the foreign exchange market, The Journal of Finance, 50, 507, 10.1111/j.1540-6261.1995.tb04793.x Koopman, 2005, Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements, Journal of Empirical Finance, 12, 445, 10.1016/j.jempfin.2004.04.009 Kourtis, 2016, An international comparison of implied, realized, and GARCH volatility forecasts, Journal of Futures Markets, 36, 1164, 10.1002/fut.21792 Lamoureux, 1993, Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities, The Review of Financial Studies, 6, 293, 10.1093/rfs/6.2.293 Latane, 1976, Standard deviations of stock price ratios implied in option prices, The Journal of Finance, 31, 369, 10.1111/j.1540-6261.1976.tb01892.x Leigh, 2002, Forecasting the NYSE composite index with technical analysis, pattern recognizer, neural network, and genetic algorithm: A case study in romantic decision support, Decision Support Systems, 32, 361, 10.1016/S0167-9236(01)00121-X Levich, 1993, The significance of technical trading rule profits in the foreign exchange market: A bootstrap approach, Journal of International Money and Finance, 12, 451, 10.1016/0261-5606(93)90034-9 Lundblad, 2007, The risk return tradeoff in the long run: 1836–2003, Journal of Financial Economics, 85, 123, 10.1016/j.jfineco.2006.06.003 Malkiel, 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance, 25, 383, 10.1111/j.1540-6261.1970.tb00518.x Mele, 2007, Asymmetric stock market volatility and the cyclical behavior of expected returns, Journal of Financial Economics, 86, 446, 10.1016/j.jfineco.2006.10.002 Merton, 1973, Theory of rational option pricing, The Bell Journal of Economics and Management Science, 4, 141, 10.2307/3003143 Merton, 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 8, 323, 10.1016/0304-405X(80)90007-0 Officer, 1973, The variability of the market factor of the New York stock exchange, The Journal of Business, 46, 434, 10.1086/295551 Parkinson, 1980, The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, 61, 10.1086/296071 Pilbeam, 2015, Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts, International Economics and Economic Policy, 12, 127, 10.1007/s10368-014-0289-4 Pong, 2004, Forecasting currency volatility: A comparison of implied volatilities and AR (FI) MA models, Journal of Banking & Finance, 28, 2541, 10.1016/j.jbankfin.2003.10.015 Prokopczuk, 2014, The importance of the volatility risk premium for volatility forecasting, Journal of Banking & Finance, 40, 303, 10.1016/j.jbankfin.2013.12.002 Prokopczuk, 2016, Do jumps matter for volatility forecasting? Evidence from energy markets, Journal of Futures Markets, 36, 758, 10.1002/fut.21759 Rogers, 1994, Estimating the volatility of stock prices: A comparison of methods that use high and low prices, Applied Financial Economics, 4, 241, 10.1080/758526905 Rogers, 1991, Estimating variance from high, low and closing prices, The Annals of Applied Probability, 1, 504, 10.1214/aoap/1177005835 Schwert, 1989, Why does stock market volatility change over time?, The Journal of Finance, 44, 1115, 10.1111/j.1540-6261.1989.tb02647.x Seo, 2015, The information content of option-implied information for volatility forecasting with investor sentiment, Journal of Banking & Finance, 50, 106, 10.1016/j.jbankfin.2014.09.010 Shaikh, 2014, The forecasting performance of implied volatility index: Evidence from India VIX, Economic Change and Restructuring, 47, 251, 10.1007/s10644-014-9149-z Sridharan, 2015, Volatility forecasting using financial statement information, The Accounting Review, 90, 2079, 10.2308/accr-51025 Sullivan, 1999, Data-snooping, technical trading rule performance, and the bootstrap, The Journal of Finance, 54, 1647, 10.1111/0022-1082.00163 Szakmary, 2003, The predictive power of implied volatility: Evidence from 35 futures markets, Journal of Banking & Finance, 27, 2151, 10.1016/S0378-4266(02)00323-0 Wong, 2017, Volatility smile and one-month foreign currency volatility forecasts, Journal of Futures Markets, 37, 286, 10.1002/fut.21799