Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market

Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market
Author: Panagiotis Pastos
Publisher:
Total Pages:
Release: 1999
Genre:
ISBN:


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Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market
Language: en
Pages:
The Relationship between Implied and Realized Volatility in the Danish Option and Equity Markets
Language: en
Pages: 21
Authors: Charlotte Strunk Hansen
Categories:
Type: BOOK - Published: 2002 - Publisher:

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In this paper we examine the information content of options on the Danish KFX share index. These options are traded very infrequently and with a low volume. We
The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns
Language: en
Pages: 33
Authors: Dean Diavatopoulos
Categories:
Type: BOOK - Published: 2014 - Publisher:

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Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Prior studies are based on
The Relation between Implied and Realized Volatility in the Danish Option and Equity Markets
Language: en
Pages:
Authors: Charlotte Strunk Hansen
Categories:
Type: BOOK - Published: 2002 - Publisher:

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We show that the conclusions to be drawn concerning the informational efficiency of illiquid options depend critically on whether one is careful to recognize an
Implied and Realized Volatility in the Cross-Section of Equity Options
Language: en
Pages: 30
Authors: Manuel Ammann
Categories:
Type: BOOK - Published: 2016 - Publisher:

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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 characteris