Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

B-Tier

Journal: Journal of Banking & Finance

Year: 2007

Volume: 31

Issue: 8

Pages: 2535-2549

Authors (3)

Becker, Ralf (not in RePEc) Clements, Adam E. (Queensland University of Techn...) White, Scott I. (not in RePEc)

Score contribution per author:

0.673 = (α=2.02 / 3 authors) × 1.0x B-tier

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