Are There Gains from Using Information over the Surface of Implied Volatilities
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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