Matches in SemOpenAlex for { <https://semopenalex.org/work/W2214932154> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W2214932154 abstract "Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this paper, we examine the information content and predictive power of implied standard deviations derived from EUREX options on the Swiss market index (SMI). Implied volatilities are computed from the Black and Scholes (1973) model as well as the Duan (1995) GARCH option pricing model, a more flexible method to price options. The statistical analysis shows that a combination of implied volatilities from the GARCH option pricing model and daily returns delivers the best results. We find no incremental information in using the model of Black and Scholes or intraday returns. In the medium term, two to three weeks, the implied volatility according to Duan is the single most informative source." @default.
- W2214932154 created "2016-06-24" @default.
- W2214932154 creator A5002853795 @default.
- W2214932154 date "2008-01-01" @default.
- W2214932154 modified "2023-09-26" @default.
- W2214932154 title "Forecasting SMI Volatility: The Information Content of Daily Returns, High Frequency Returns and Implied Volatilities" @default.
- W2214932154 cites W1538623232 @default.
- W2214932154 cites W1576326745 @default.
- W2214932154 cites W1594842258 @default.
- W2214932154 cites W1600080087 @default.
- W2214932154 cites W1935432766 @default.
- W2214932154 cites W1956078668 @default.
- W2214932154 cites W1963570115 @default.
- W2214932154 cites W1982360355 @default.
- W2214932154 cites W1983056091 @default.
- W2214932154 cites W1985018066 @default.
- W2214932154 cites W1999029409 @default.
- W2214932154 cites W1999814123 @default.
- W2214932154 cites W2000139946 @default.
- W2214932154 cites W2017297397 @default.
- W2214932154 cites W2018249206 @default.
- W2214932154 cites W2022852674 @default.
- W2214932154 cites W2025006397 @default.
- W2214932154 cites W2041550349 @default.
- W2214932154 cites W2045851033 @default.
- W2214932154 cites W2046390707 @default.
- W2214932154 cites W2062896473 @default.
- W2214932154 cites W2064978316 @default.
- W2214932154 cites W2068138154 @default.
- W2214932154 cites W2070047061 @default.
- W2214932154 cites W2074310789 @default.
- W2214932154 cites W2074567665 @default.
- W2214932154 cites W2077791698 @default.
- W2214932154 cites W2077950484 @default.
- W2214932154 cites W2080979544 @default.
- W2214932154 cites W2090771760 @default.
- W2214932154 cites W2105076382 @default.
- W2214932154 cites W2117178635 @default.
- W2214932154 cites W2118854883 @default.
- W2214932154 cites W2120925732 @default.
- W2214932154 cites W2129605852 @default.
- W2214932154 cites W2130166106 @default.
- W2214932154 cites W2146612430 @default.
- W2214932154 cites W2148548869 @default.
- W2214932154 cites W2152804254 @default.
- W2214932154 cites W2157858527 @default.
- W2214932154 cites W3023688799 @default.
- W2214932154 cites W3123118666 @default.
- W2214932154 cites W3123653015 @default.
- W2214932154 cites W3123686478 @default.
- W2214932154 cites W3124991310 @default.
- W2214932154 cites W4206138376 @default.
- W2214932154 cites W4211017814 @default.
- W2214932154 cites W4229844634 @default.
- W2214932154 cites W4231057775 @default.
- W2214932154 cites W4231321012 @default.
- W2214932154 cites W4232115882 @default.
- W2214932154 cites W4236751433 @default.
- W2214932154 cites W4238339773 @default.
- W2214932154 cites W4246784033 @default.
- W2214932154 cites W4251976397 @default.
- W2214932154 cites W4297964220 @default.
- W2214932154 doi "https://doi.org/10.2139/ssrn.493062" @default.
- W2214932154 hasPublicationYear "2008" @default.
- W2214932154 type Work @default.
- W2214932154 sameAs 2214932154 @default.
- W2214932154 citedByCount "0" @default.
- W2214932154 crossrefType "journal-article" @default.
- W2214932154 hasAuthorship W2214932154A5002853795 @default.
- W2214932154 hasConcept C106159729 @default.
- W2214932154 hasConcept C149782125 @default.
- W2214932154 hasConcept C162324750 @default.
- W2214932154 hasConcept C60092789 @default.
- W2214932154 hasConcept C91602232 @default.
- W2214932154 hasConceptScore W2214932154C106159729 @default.
- W2214932154 hasConceptScore W2214932154C149782125 @default.
- W2214932154 hasConceptScore W2214932154C162324750 @default.
- W2214932154 hasConceptScore W2214932154C60092789 @default.
- W2214932154 hasConceptScore W2214932154C91602232 @default.
- W2214932154 hasLocation W22149321541 @default.
- W2214932154 hasOpenAccess W2214932154 @default.
- W2214932154 hasPrimaryLocation W22149321541 @default.
- W2214932154 hasRelatedWork W1597845216 @default.
- W2214932154 hasRelatedWork W184579549 @default.
- W2214932154 hasRelatedWork W1981584697 @default.
- W2214932154 hasRelatedWork W2044646743 @default.
- W2214932154 hasRelatedWork W2085642832 @default.
- W2214932154 hasRelatedWork W2282039337 @default.
- W2214932154 hasRelatedWork W3089954878 @default.
- W2214932154 hasRelatedWork W3124549360 @default.
- W2214932154 hasRelatedWork W3125263362 @default.
- W2214932154 hasRelatedWork W3145418258 @default.
- W2214932154 isParatext "false" @default.
- W2214932154 isRetracted "false" @default.
- W2214932154 magId "2214932154" @default.
- W2214932154 workType "article" @default.