FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4313334876> ?p ?o ?g. }

• W4313334876 endingPage "479" @default.
• W4313334876 startingPage "455" @default.
• W4313334876 abstract "Abstract We examine the predictability of the model‐free implied volatility from swaptions on future realized volatility of the underlying swap rates. The model‐free implied volatility demonstrates significant predictability on future realized volatility of swap rates along a wide cross‐section of tenors. The predictive power of the model‐free implied volatility is superior to the predictability of lagged realized volatility and generalized autoregressive conditional heteroskedasticity‐type conditional volatility. The superior predictive power of the model‐free implied volatility also holds out‐of sample, in different market states and with longer forecasting horizons." @default.
• W4313334876 created "2023-01-06" @default.
• W4313334876 creator A5002626897 @default.
• W4313334876 creator A5083033053 @default.
• W4313334876 date "2022-12-29" @default.
• W4313334876 modified "2023-10-12" @default.
• W4313334876 title "Forecasting swap rate volatility with information from swaptions" @default.
• W4313334876 cites W1588163064 @default.
• W4313334876 cites W1594842258 @default.
• W4313334876 cites W1984031927 @default.
• W4313334876 cites W1984226036 @default.
• W4313334876 cites W1988878701 @default.
• W4313334876 cites W2003498865 @default.
• W4313334876 cites W2050067494 @default.
• W4313334876 cites W2061160212 @default.
• W4313334876 cites W2084931349 @default.
• W4313334876 cites W2110758267 @default.
• W4313334876 cites W2155187653 @default.
• W4313334876 cites W2345417663 @default.
• W4313334876 cites W292358271 @default.
• W4313334876 cites W3121251852 @default.
• W4313334876 cites W3122928144 @default.
• W4313334876 cites W3123118133 @default.
• W4313334876 cites W3123412320 @default.
• W4313334876 cites W3123965213 @default.
• W4313334876 cites W3124026849 @default.
• W4313334876 cites W3124690764 @default.
• W4313334876 cites W3125266524 @default.
• W4313334876 cites W3125367021 @default.
• W4313334876 cites W3126081245 @default.
• W4313334876 cites W3217457548 @default.
• W4313334876 cites W4232651013 @default.
• W4313334876 cites W4242495845 @default.
• W4313334876 cites W4292671038 @default.
• W4313334876 cites W4297895636 @default.
• W4313334876 doi "https://doi.org/10.1002/fut.22395" @default.
• W4313334876 hasPublicationYear "2022" @default.
• W4313334876 type Work @default.
• W4313334876 citedByCount "0" @default.
• W4313334876 crossrefType "journal-article" @default.
• W4313334876 hasAuthorship W4313334876A5002626897 @default.
• W4313334876 hasAuthorship W4313334876A5083033053 @default.
• W4313334876 hasConcept C10138342 @default.
• W4313334876 hasConcept C105795698 @default.
• W4313334876 hasConcept C106159729 @default.
• W4313334876 hasConcept C111472728 @default.
• W4313334876 hasConcept C117996083 @default.
• W4313334876 hasConcept C13290067 @default.
• W4313334876 hasConcept C138885662 @default.
• W4313334876 hasConcept C149782125 @default.
• W4313334876 hasConcept C162324750 @default.
• W4313334876 hasConcept C165603445 @default.
• W4313334876 hasConcept C192620184 @default.
• W4313334876 hasConcept C197640229 @default.
• W4313334876 hasConcept C24189920 @default.
• W4313334876 hasConcept C2778136018 @default.
• W4313334876 hasConcept C33923547 @default.
• W4313334876 hasConcept C44731940 @default.
• W4313334876 hasConcept C85393063 @default.
• W4313334876 hasConcept C91602232 @default.
• W4313334876 hasConcept C99560960 @default.
• W4313334876 hasConcept C99821215 @default.
• W4313334876 hasConceptScore W4313334876C10138342 @default.
• W4313334876 hasConceptScore W4313334876C105795698 @default.
• W4313334876 hasConceptScore W4313334876C106159729 @default.
• W4313334876 hasConceptScore W4313334876C111472728 @default.
• W4313334876 hasConceptScore W4313334876C117996083 @default.
• W4313334876 hasConceptScore W4313334876C13290067 @default.
• W4313334876 hasConceptScore W4313334876C138885662 @default.
• W4313334876 hasConceptScore W4313334876C149782125 @default.
• W4313334876 hasConceptScore W4313334876C162324750 @default.
• W4313334876 hasConceptScore W4313334876C165603445 @default.
• W4313334876 hasConceptScore W4313334876C192620184 @default.
• W4313334876 hasConceptScore W4313334876C197640229 @default.
• W4313334876 hasConceptScore W4313334876C24189920 @default.
• W4313334876 hasConceptScore W4313334876C2778136018 @default.
• W4313334876 hasConceptScore W4313334876C33923547 @default.
• W4313334876 hasConceptScore W4313334876C44731940 @default.
• W4313334876 hasConceptScore W4313334876C85393063 @default.
• W4313334876 hasConceptScore W4313334876C91602232 @default.
• W4313334876 hasConceptScore W4313334876C99560960 @default.
• W4313334876 hasConceptScore W4313334876C99821215 @default.
• W4313334876 hasIssue "4" @default.
• W4313334876 hasLocation W43133348761 @default.
• W4313334876 hasOpenAccess W4313334876 @default.
• W4313334876 hasPrimaryLocation W43133348761 @default.
• W4313334876 hasRelatedWork W1520262233 @default.
• W4313334876 hasRelatedWork W1568116564 @default.
• W4313334876 hasRelatedWork W1984031927 @default.
• W4313334876 hasRelatedWork W2088568893 @default.
• W4313334876 hasRelatedWork W2120151329 @default.
• W4313334876 hasRelatedWork W2969571148 @default.
• W4313334876 hasRelatedWork W3021038160 @default.
• W4313334876 hasRelatedWork W3121686874 @default.
• W4313334876 hasRelatedWork W3122238840 @default.
• W4313334876 hasRelatedWork W3166518942 @default.
• W4313334876 hasVolume "43" @default.
• W4313334876 isParatext "false" @default.

• next