Work

Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Year: 2007

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2006.11.013

Authors: Ralf Becker, Adam E. Clements, Scott I. White

Institutions: University of Manchester, Queensland University of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1542422326

FWCI: 16.49

Cites: 21

Cited by: 124

Related to: 10