Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation under SFAS 123R
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Cited by:
- Hans Byström, 2015.
"Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(8), pages 753-775, August.
- Byström, Hans, 2014. "Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges," Working Papers 2014:34, Lund University, Department of Economics.
- Merz, Alexander, 2017. "What have we learned from SFAS 123r and IFRS 2? A review of existing evidence and future research suggestions," Journal of Accounting Literature, Elsevier, vol. 38(C), pages 14-33.
- Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2024. "Extrapolation and option-implied kurtosis in volatility forecasting," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
- Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012.
"Does stock return predictability affect ESO fair value?,"
European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
- Carmona, Julio & León, Angel & Vaello-Sebastiá, Antoni, 2011. "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers 11-2, University of Alicante, D. Quantitative Methods and Economic Theory, revised 16 Jan 2012.
- Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
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