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Implied volatility indices – A review

Athanasios Fassas and Costas Siriopoulos

The Quarterly Review of Economics and Finance, 2021, vol. 79, issue C, 303-329

Abstract: This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 47 volatility-based indices that are now available, in order to examine if different asset classes and financial instruments could possess different return-volatility relations and forecasting ability.

Keywords: Implied volatility indices; VIX; Risk-return relationship; Realized volatility; Quantile regression (search for similar items in EconPapers)
JEL-codes: C53 G13 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329

DOI: 10.1016/j.qref.2020.07.004

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