The predictive power of implied volatility: Evidence from 35 futures markets

B-Tier

Journal: Journal of Banking & Finance

Year: 2003

Volume: 27

Issue: 11

Pages: 2151-2175

Authors (4)

Szakmary, Andrew (not in RePEc) Ors, Evren (HEC Paris (École des Hautes Ét...) Kyoung Kim, Jin (not in RePEc) Davidson, Wallace III (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count