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How does implied volatility differ from model based volatility forecasts?

Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Christensen, M, & Fletcher, A (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 2-4 July 2008, Australia, Queensland, Brisbane.

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ID Code: 30515
Item Type: Conference Paper
Keywords: implied volatility, VIX, volatility forecasts, informational efficiency
ISBN: 978 1 74107 243 3
Subjects: Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Investment and Risk Management (150205)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 12 Feb 2010 22:38
Last Modified: 23 Apr 2012 13:52

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