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1-2 of 2
Keywords: Realized Volatilities
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (2): 195–235.
Published: 31 May 2012
... volatility of the underlying stock return. Next, we analyze the properties of volatility spreads, the difference between implied volatilities and realized volatilities. Using near-the-money options for 10 firms over the sample period from April 2005 to April 2010, we first demonstrate that the implied...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (2): 207–232.
Published: 31 May 2011
...Byung Jin Kang This paper investigate the information content of implied volatilities derived from KRW/USD OTC currency options. First, we examined the explanatory power of implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic...
