Download or read book The Relationship Between Implied and Realized Volatility in the Danish Option and Equity Markets written by Charlotte Strunk Hansen and published by . This book was released on 1999 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relation between Implied and Realized Volatility in the Danish Option and Equity Markets written by Charlotte Strunk Hansen and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the conclusions to be drawn concerning the informational efficiency of illiquid options depend critically on whether one is careful to recognize and appropriately deal with the econometrics of the errors-in-variables problem. This paper examines the information content of options on the Danish KFX share index. We consider the relation between the volatility implied in an option's price and the subsequently realized index return volatility. Since these options are traded infrequently and in low volumes, the errors-in-variables problem is potentially large. We address the problem directly using instrumental variables techniques. We find that when measurement errors are controlled for, call option prices even in this very illiquid market contain information about future realized volatility over and above the information contained in historical volatility.

Download or read book The Relationship Between Implied and Realized Volatility in Danish Option and Equity Markeds written by and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relationship Between Implied and Realized Volatility in Danish Option and Equity Markeds written by Charlotte Strunk Hansen and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Relationship Between Implied Volatility and Realised Volatility the Case of the German Stock Index Options Market written by Panagiotis Pastos and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Time Series Data Methods in Applied Economic Research written by Nicholas Tsounis and published by Springer. This book was released on 2018-12-12 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: This conference proceedings volume presents advanced methods in time series estimation models that are applicable various areas of applied economic research such as international economics, macroeconomics, microeconomics, finance economics and agricultural economics. Featuring contributions presented at the 2018 International Conference on Applied Economics (ICOAE) held in Warsaw, Poland, this book presents contemporary research using applied econometric method for analysis as well as country specific studies with potential implications on economic policy. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually with economic policy interest. ICOAE is an annual conference started in 2008 with the aim to bring together economists from different fields of applied economic research in order to share methods and ideas. Approximately 150 papers are submitted each year from about 40 countries around the world. The goal of the conference and the enclosed papers is to allow for an exchange of experiences with different applied econometric methods and to promote joint initiatives among well-established economic fields such as finance, agricultural economics, health economics, education economics, international trade theory and management and marketing strategies. Featuring global contributions, this book will be of interest to researchers, academics, professionals and policy makers in the field of applied economics and econometrics.

Download or read book Handbook of Evidence Based Management Practices in Business written by Satyendra Kumar Sharma and published by Taylor & Francis. This book was released on 2023-05-25 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of selected high-quality research papers presented at the 4th International Conference on Evidence-Based Management (ICEBM) 2023, held at Birla Institute of Technology & Science, Pilani, Rajasthan, India, during February 24–25, 2023. It has 76 chapters written by various scholars focusing on evidence-based management practices in different functional areas of management with the application of theory and empirical techniques. This book will be helpful to practitioners, academics, scholars, and policymakers.

Download or read book Implied and Realized Volatility in the Cross Section of Equity Options written by Manuel Ammann and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteristics. We find that high-beta stocks, small stocks, stocks with a low-market-to-book ratio, and non-momentum stocks trade at higher implied volatilities after controlling for historical volatility. We find evidence that implied volatility overestimates realized volatility for low-beta stocks, small caps, low-market-to-book stocks, and stocks with no momentum and vice versa. However, we cannot reject the null hypothesis that implied volatility is an unbiased predictor of realized volatility in the cross section.

Download or read book The Information Content in Implied Idiosyncratic Volatility and the Cross Section of Stock Returns written by Dean Diavatopoulos and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Prior studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and are likely a superior measure to historical realized volatility. We use implied idiosyncratic volatilities on firms with traded options to examine the relation between idiosyncratic volatility and future returns. We find a strong positive link between implied idiosyncratic risk and future returns. After considering the impact of implied idiosyncratic volatility, historical realized idiosyncratic volatility is unimportant. This performance is strongly tied to small size and high book-to-market equity firms.

Download or read book Option implied Volatility as a Predictor of Realized Volatility in Derivative Markets written by Thabiso Ramashala and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Implied and Realized Volatility in the Cross section of Equity Options written by Manuel Ammann and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange Stock and Bond Markets written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Memory and the Relation between Implied and Realized Volatility written by Federico M. Bandi and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We argue that the predictive regression between implied volatility (regressor) and realized volatility over the remaining life of a European option (regressand) is likely to be a fractional cointegrating relation. Because cointegration is associated with long-run comovements, this classical regression cannot be used to test for option market efficiency and short-term unbiasedness of implied volatility as a predictor of realized volatility. Using narrow-band spectral methods, we provide consistent estimates of the long-run relation between implied and realized volatility even when implied volatility is measured with error and/or volatility is priced but the volatility risk premium is unobservable. Although little can be said about short-term unbiasedness, our results largely support a notion of long-run unbiasedness of implied volatility as a predictor of realized volatility.

Download or read book Option Implied Volatility as a Predictor of Realized Volatility in Derivative Markets written by Kennedy Thabiso Ronald Ramashala and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The following study aims to examine the success of using option-implied volatility to forecast realized volatility in derivative markets as the preferred market practice. The approach adopted by this study was to compare realized volatility against the monthly average forecast over the period 2005 to 2010. The data selection spanned across currency and commodities markets: short and long-term horizons: before and after the global financial crisis: as well as developed and developing (emerging) markets. To test the success of the forecasting technique, the study used the T-test to test the sample means for any statistical differences between the means of the forecast variable (optionimplied volatility) and the realized variable. The data for the study was obtained from BloombergTM. The findings across all research question showed that this forecasting technique has performed poorly in general for various reasons. There are different arguments in literature as to which forecasting method works best and under what conditions, some practitioners prefer using historical data methods others prefer more technical methods such as the GARCH 1.1. The use of financial derivatives to mitigate financial risk has become a common practice for organizations with a global presence: however market volatility poses a great risk to the financial stability of these organizations. Forecasting volatility continues to be a challenge for market practitioners.

Download or read book The Economic Value of Using Realized Volatility in the Index Options Market written by Madhu Kalimipalli and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the economic benefits of using high frequency volatility measures for pricing, trading and hedging in the Samp;P 500 index options market. Using the encompassing regression framework, we generate volatility forecasts combining information from long memory high-frequency volatility specifications and option-based implied volatilities. We conduct out-of-sample tests of the volatility forecasts by examining option pricing performance, trading performance based on volatility timing strategies, and the performance of covered options positions for index option writers. Our results support combining forecasts of implied volatility and realized volatility and illustrate that the realized volatility approach has economic value in the context of option pricing and risk management.

Download or read book The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange Stock and Bond Markets written by Thomas Busch and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relation Between Implied and Realized Volatility written by Bent J. Christensen and published by . This book was released on 1998 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: