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State-preference pricing and volatility indices

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  • Zhangxin (Frank) Liu
  • Michael J. O'Neill
  • Tom Smith

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  • Zhangxin (Frank) Liu & Michael J. O'Neill & Tom Smith, 2017. "State-preference pricing and volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 815-836, September.
    • Handle: RePEc:bla:acctfi:v:57:y:2017:i:3:p:815-836
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    References listed on IDEAS

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    4. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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    7. 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.
    8. Yang, Dennis & Zhang, Qiang, 2000. "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices," The Journal of Business, University of Chicago Press, vol. 73(3), pages 477-491, July.
    9. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    10. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2010. "Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 3141-3189, August.
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    13. Jun, Xiao & Li, Mingsheng & Shi, Jing, 2014. "Volatile market condition and investor clientele effects on mutual fund flow performance relationship," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 310-334.
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    22. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
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    24. Becker, Ralf & Clements, Adam E. & White, Scott I., 2007. "Does implied volatility provide any information beyond that captured in model-based volatility forecasts?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2535-2549, August.
    25. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
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    27. Lee, Bong Soo & Paek, Miyoun & Ha, Yeonjeong & Ko, Kwangsoo, 2015. "The dynamics of market volatility, market return, and equity fund flow: International evidence," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 214-227.
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    1. Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).

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