Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices

Journal of Banking and Finance

Volumn 32, Issue 11, 2008, Pages 2401-2411

  Konstantinidi, Eirini ^a   Skiadopoulos, George ^a,b   Tzagkaraki, Emilia ^a  

^a UNIVERSITY OF PIRAEUS   (Greece)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Implied volatility; Implied volatility indices; Interval forecasts; Market efficiency; Predictability; Volatility derivatives

Indexed keywords

EID: 52949101335     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.02.003     Document Type: Article

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