Are There Gains from Using Information over the Surface of Implied Volatilities
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21903
Abstract: We test the price discovery of the term structure of implied volatilities, and investigate its implications on the out-of-sample forecast of implied volatility. Both long-maturity and short-maturity options are important for the price discovery of… read more here.
Keywords: implied volatilities; information; implied volatility; sample forecast ... See more keywords
Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information
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DOI: 10.3390/su11143906
Abstract: This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show… read more here.
Keywords: long run; oil; relationships oil; implied volatilities ... See more keywords