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Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach
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Cited by:
- Ferland, Rene & Lalancette, Simon, 2006. "Dynamics of realized volatilities and correlations: An empirical study," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2109-2130, July.
- Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW Kiel).
- Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011.
"The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
- Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, Department of Economics and Business Economics, Aarhus University.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
- Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, University Library of Munich, Germany.
- 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.
- Marek Rutkowski, 1999. "Models of forward Libor and swap rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(1), pages 29-60.
- Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004.
"Euro area sovereign yield dynamics: the role of order imbalance,"
Working Paper Series
385, European Central Bank.
- Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Miguel A. Ferreira, 2005.
"Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 126-168.
- Miguel A. Ferreira & Jose A. Lopez, 2004. "Evaluating interest rate covariance models within a value-at-risk framework," Working Paper Series 2004-03, Federal Reserve Bank of San Francisco.
- Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-.
- Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics.
- Leon, Angel & Rubio, Gonzalo & Serna, Gregorio, 2005. "Autoregresive conditional volatility, skewness and kurtosis," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 599-618, September.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013.
"Forecasting with Option-Implied Information,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656,
Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
- Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
- Jose A. Lopez & Christian Walter, 1997.
"Is implied correlation worth calculating? Evidence from foreign exchange options and historical data,"
Research Paper
9730, Federal Reserve Bank of New York.
- Jose A. Lopez & Christian Walter, 2000. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Working Paper Series 2000-02, Federal Reserve Bank of San Francisco.
- Michael J. Fleming & Jose A. Lopez, 1999.
"Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market,"
Staff Reports
82, Federal Reserve Bank of New York.
- Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
- Andrew Carverhill & Terry Cheuk & Sigurd Dyrting, 2009. "The smirk in the S&P500 futures options prices: a linearized factor analysis," Review of Derivatives Research, Springer, vol. 12(2), pages 109-139, July.
- Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
- Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
- Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
- Chuang Yuang Lin & Dar Hsin Chen & Chin Yu Tsai, 2011. "The limitation of monotonicity property of option prices: an empirical evidence," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3103-3113.
- Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
- Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004. "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings 487, Econometric Society.
- Shao, Renyuan & Roe, Brian E., 2001.
"Underpinnings For Prospective, Net Revenue Forecasting In Hog Finishing: Characterizing The Joint Distribution Of Corn, Soybean Meal And Lean Hogs Time Series,"
2001 Conference, April 23-24, 2001, St. Louis, Missouri
18954, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Shao, Renyuan & Roe, Brian E., 2001. "Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series," 2001 Annual meeting, August 5-8, Chicago, IL 20664, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Eui Jung Chang & Benjamin Miranda Tabak, 2007. "Are implied volatilities more informative? The Brazilian real exchange rate case," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 569-576.
- Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
- Ferreira, Miguel A., 2005. "Forecasting the comovements of spot interest rates," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 766-792, September.
- A. Vinay Kumar & Shikha Jaiswal, 2013. "The Information Content of Alternate Implied Volatility Models: Case of Indian Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(3), pages 293-321, December.
- Giulio, Cifarelli, 2004. "Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts," MPRA Paper 28655, University Library of Munich, Germany.
- Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Belal E. Baaquie, 2001. "Quantum Field Theory of Forward Rates with Stochastic Volatility," Papers cond-mat/0110506, arXiv.org.
- Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January.
- Christiansen, Charlotte & Strunk Hansen, Charlotte, 2000. "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Finance Working Papers 00-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
- Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
- Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Narayan Tondapu, 2024. "Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs," Papers 2402.07435, arXiv.org.
- Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
- Lan Zhang, 2012. "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, vol. 8(2), pages 259-275, May.
- Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.
- Renyuan Shao & Brian Roe, 2003.
"The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1047-1073, November.
- Shao, Renyuan & Roe, Brian E., 2002. "The Design And Pricing Of Fixed And Moving Window Contracts: An Application Of Asian-Basket Option Pricing Methods To The Hog Finishing Sector," 2002 Annual meeting, July 28-31, Long Beach, CA 19823, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Zhou, Anjun, 2002. "Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 35-56, January.
- Jose A. Lopez & Christian Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Paper Series 2000-21, Federal Reserve Bank of San Francisco.
- Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.