Market imperfections and the information content of implied and realized volatility

Pacific Basin Finance Journal

Volumn 17, Issue 1, 2009, Pages 58-79

  Wong, Woon K ^a   Tu, Anthony H ^b  

^a CARDIFF UNIVERSITY   (United Kingdom)

^b NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

Implied volatility; Market imperfections; Reality Check test; Realized volatility; Volatility forecasts

Indexed keywords

EID: 56549103208     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2007.12.002     Document Type: Article

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