Matches in SemOpenAlex for { <https://semopenalex.org/work/W3144294046> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W3144294046 abstract "Under rather general conditions Black - Scholes implied volatilities from at-the-money options appropriately quantify, in each period, the market expectations of the average volatility of the return of the underlying asset until contract expiration. The efficiency of these expectation estimates is investigated here, for options on two major short term interest rate futures contracts traded at the LIFFE, using a long memory framework. Over the 1993 – 1997 time interval the performance of implied volatilities is not homogeneous across contracts. Information content and predictive power tests consistently suggest that implied volatility from Short Sterling contracts is more accurate as a future volatility predictor than implied volatility from 3 Month Euromark contracts. The analysis of the efficiency of the transmission of news over time and between contracts provides analogous results. Underreaction of long term volatility to changes in short term volatility is more relevant for the German interest rate contract than for the British one and Short Sterling implied volatility changes do “Granger cause” 3 Month Euromark implied volatility changes pointing to a contagion – like interlinkage. Even in a sophisticated international financial market like the LIFFE implied volatilities have a country specific pattern as traders seem to be more proficient in predicting domestic interest rate volatility. A possible interpretation is that a (foreign) country risk premium introduces a bias in the Black – Scholes implied volatility estimates. Whether this result is general or is instead restricted to the time period and/or to the contracts under investigation provides the scope for future research." @default.
- W3144294046 created "2021-04-13" @default.
- W3144294046 creator A5024179095 @default.
- W3144294046 date "2002-05-01" @default.
- W3144294046 modified "2023-09-27" @default.
- W3144294046 title "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?" @default.
- W3144294046 hasPublicationYear "2002" @default.
- W3144294046 type Work @default.
- W3144294046 sameAs 3144294046 @default.
- W3144294046 citedByCount "0" @default.
- W3144294046 crossrefType "posted-content" @default.
- W3144294046 hasAuthorship W3144294046A5024179095 @default.
- W3144294046 hasConcept C106159729 @default.
- W3144294046 hasConcept C106306483 @default.
- W3144294046 hasConcept C117996083 @default.
- W3144294046 hasConcept C13290067 @default.
- W3144294046 hasConcept C149782125 @default.
- W3144294046 hasConcept C162324750 @default.
- W3144294046 hasConcept C192620184 @default.
- W3144294046 hasConcept C24189920 @default.
- W3144294046 hasConcept C44731940 @default.
- W3144294046 hasConcept C556758197 @default.
- W3144294046 hasConcept C91602232 @default.
- W3144294046 hasConceptScore W3144294046C106159729 @default.
- W3144294046 hasConceptScore W3144294046C106306483 @default.
- W3144294046 hasConceptScore W3144294046C117996083 @default.
- W3144294046 hasConceptScore W3144294046C13290067 @default.
- W3144294046 hasConceptScore W3144294046C149782125 @default.
- W3144294046 hasConceptScore W3144294046C162324750 @default.
- W3144294046 hasConceptScore W3144294046C192620184 @default.
- W3144294046 hasConceptScore W3144294046C24189920 @default.
- W3144294046 hasConceptScore W3144294046C44731940 @default.
- W3144294046 hasConceptScore W3144294046C556758197 @default.
- W3144294046 hasConceptScore W3144294046C91602232 @default.
- W3144294046 hasLocation W31442940461 @default.
- W3144294046 hasOpenAccess W3144294046 @default.
- W3144294046 hasPrimaryLocation W31442940461 @default.
- W3144294046 hasRelatedWork W141533252 @default.
- W3144294046 hasRelatedWork W1520262233 @default.
- W3144294046 hasRelatedWork W1594842258 @default.
- W3144294046 hasRelatedWork W1763071171 @default.
- W3144294046 hasRelatedWork W1967187437 @default.
- W3144294046 hasRelatedWork W1973667310 @default.
- W3144294046 hasRelatedWork W2110528096 @default.
- W3144294046 hasRelatedWork W2116787156 @default.
- W3144294046 hasRelatedWork W2163238206 @default.
- W3144294046 hasRelatedWork W2340791928 @default.
- W3144294046 hasRelatedWork W2583052946 @default.
- W3144294046 hasRelatedWork W2888041582 @default.
- W3144294046 hasRelatedWork W2952535149 @default.
- W3144294046 hasRelatedWork W2964969009 @default.
- W3144294046 hasRelatedWork W2972002206 @default.
- W3144294046 hasRelatedWork W3121813754 @default.
- W3144294046 hasRelatedWork W3123179499 @default.
- W3144294046 hasRelatedWork W3124549695 @default.
- W3144294046 hasRelatedWork W3136485529 @default.
- W3144294046 hasRelatedWork W2059398958 @default.
- W3144294046 isParatext "false" @default.
- W3144294046 isRetracted "false" @default.
- W3144294046 magId "3144294046" @default.
- W3144294046 workType "article" @default.