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

Journal of Banking and Finance

Volumn 31, Issue 8, 2007, Pages 2535-2549

  Becker, Ralf ^a   Clements, Adam E ^b   White, Scott I ^b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Implied volatility; Information; Realized volatility; Volatility forecasts; Volatility models; Volatility risk premium

Indexed keywords

EID: 34447624872     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.11.013     Document Type: Article

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