Details about Silvia Muzzioli

Access statistics for papers by Silvia Muzzioli.

Last updated 2015-07-31. Update your information in the RePEc Author Service.

Short-id: pmu314

Working Papers

2014

1. Volatility risk premia and financial connectedness
   Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)

2013

2. Option Implied Trees and Implied Moments
   Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi" View citations (1)
3. The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods
   Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi" View citations (6)

2011

4. Assessing the information content of option-based volatility forecasts using fuzzy regression methods
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

2010

5. Towards a volatility index for the Italian stock market
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (3)

2009

6. The skew pattern of implied volatility in the DAX index options market
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
   See also Journal Article The Skew Pattern of Implied Volatility in the DAX Index Options Market, Frontiers in Finance and Economics, SKEMA Business School (2011) (2011)

2005

7. The no arbitrage condition in option implied trees: evidence from the Italian index options market
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

2003

8. Call and put implied volatilities and the derivation of option implied trees
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
   See also Journal Article Call an Put Implied Volatilities and the Derivation of Option Implied Trees, Frontiers in Finance and Economics, SKEMA Business School (2007) (2007)

Journal Articles

2013

1. The Forecasting Performance of Corridor Implied Volatility in the Italian Market
   Computational Economics, 2013, 41, (3), 359-386 View citations (27)

2011

2. The Skew Pattern of Implied Volatility in the DAX Index Options Market
   Frontiers in Finance and Economics, 2011, 8, (1), 43-68
   See also Working Paper The skew pattern of implied volatility in the DAX index options market, Department of Economics (2009) (2009)

2010

3. Option-based forecasts of volatility: an empirical study in the DAX-index options market
   The European Journal of Finance, 2010, 16, (6), 561-586 View citations (56)

2009

4. On the no-arbitrage condition in option implied trees
   European Journal of Operational Research, 2009, 193, (1), 212-221 View citations (13)

2007

5. Call an Put Implied Volatilities and the Derivation of Option Implied Trees
   Frontiers in Finance and Economics, 2007, 4, (1), 35-64
   See also Working Paper Call and put implied volatilities and the derivation of option implied trees, Department of Economics (2003) (2003)
6. Solving parametric fuzzy systems of linear equations by a nonlinear programming method
   Computational Economics, 2007, 29, (2), 107-117
7. The solution of fuzzy linear systems by non-linear programming: a financial application
   European Journal of Operational Research, 2007, 177, (2), 1218-1231 View citations (4)

2005

8. The pricing of options on an interval binomial tree. An application to the DAX-index option market
   European Journal of Operational Research, 2005, 163, (1), 192-200 View citations (4)

2004

9. A multiperiod binomial model for pricing options in a vague world
   Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 View citations (11)

2001

10. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
    Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (4)