The predictive power of implied volatility: Evidence from 35 futures markets

Journal of Banking and Finance

Volumn 27, Issue 11, 2003, Pages 2151-2175

  Szakmary, Andrew ^a   Ors, Evren ^b   Kyoung Kim, Jin ^c   Davidson III, Wallace N ^b  

^a UNIVERSITY OF RICHMOND   (United States)

^b SOUTHERN ILLINOIS UNIVERSITY   (United States)

^c Hyup Sung Industrial Co   (South Korea)

Author keywords

Futures options; GARCH models; Implied volatility; Option market efficiency; Volatility forecasts

Indexed keywords

EID: 0141465059     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00323-0     Document Type: Article

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