Implied volatility indices – A review
Athanasios Fassas and
The Quarterly Review of Economics and Finance, 2021, vol. 79, issue C, 303-329
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329
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