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dc.contributor.authorKonstantinidi, Eirinien_GB
dc.contributor.authorSkiadopoulos, Georgeen_GB
dc.contributor.authorTzagkaraki, Emiliaen_GB
dc.date.accessioned2013-02-14T12:28:50Zen_GB
dc.date.accessioned2013-03-20T11:12:12Z
dc.date.issued2008-03-08en_GB
dc.description.abstractWe address the question whether the evolution of implied volatility can be forecasted by studying a number of European and U.S. implied volatility indices. Both point and interval forecasts are formed by alternative model specifications. The statistical and economic significance of these forecasts is examined. The latter is assessed by trading strategies in the recently inaugurated CBOE volatility futures markets. Predictable patterns are detected from a statistical point of view. However, these are not economically significant since no abnormal profits can be attained. Hence, the hypothesis that the volatility futures markets are efficient cannot be rejected.en_GB
dc.identifier.citationVol. 32, Issue 11, pp. 2401 - 2411en_GB
dc.identifier.doi10.1016/j.jbankfin.2008.02.003en_GB
dc.identifier.urihttp://hdl.handle.net/10036/4301en_GB
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.subjectImplied volatilityen_GB
dc.subjectImplied volatility indicesen_GB
dc.subjectInterval forecastsen_GB
dc.subjectMarket efficiencyen_GB
dc.subjectPredictabilityen_GB
dc.subjectVolatility derivativesen_GB
dc.titleCan the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indicesen_GB
dc.typeArticleen_GB
dc.date.available2013-02-14T12:28:50Zen_GB
dc.date.available2013-03-20T11:12:12Z
dc.identifier.issn0378-4266en_GB
dc.descriptionNOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, Elsevier, vol. 32 (11), 2008, 10.1016/j.jbankfin.2008.02.003en_GB
dc.identifier.journalJournal of Banking and Financeen_GB
refterms.dateFOA2018-12-05T10:57:26Z


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