Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options
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Cited by:
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009.
"Cross-dynamics of volatility term structures implied by foreign exchange options,"
Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
- Vähämaa, Sami & Krylova, Elizaveta & Nikkinen, Jussi, 2005. "Cross-dynamics of volatility term structures implied by foreign exchange options," Working Paper Series 530, European Central Bank.
- Chen, Ying & Han, Qian & Niu, Linlin, 2018.
"Forecasting the term structure of option implied volatility: The power of an adaptive method,"
Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
- Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Äijö, Janne, 2008. "Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices," Global Finance Journal, Elsevier, vol. 18(3), pages 290-302.
- Kian-Guan Lim & Christopher Ting, 2012. "The term structure of S&P 100 model-free volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1041-1058, November.
- F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
- Yixiao Jiang, 2020. "A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface," JRFM, MDPI, vol. 13(11), pages 1-12, November.
- repec:wyi:journl:002217 is not listed on IDEAS
- Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
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