Publications
NIBIOs employees contribute to several hundred scientific articles and research reports every year. You can browse or search in our collection which contains references and links to these publications as well as other research and dissemination activities. The collection is continously updated with new and historical material.
2012
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Maria Magdalena Estevez Roar Linjordet John MorkenAbstract
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Camilla Østerud M. Ashraful Islam Jorunn Elisabeth Olsen Dag-Ragnar Blystad Sissel Torre Anne Kathrine Hvoslef-Eide Jihong Liu ClarkeAbstract
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Abdelhameed Elameen DenisTourvieille de Labrouhe Emmanuelle Mestries Sonja Klemsdal Sophia AhmedAbstract
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Aytac ErdemirAbstract
This study examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. The results confirm that implied volatility contains valuable information regarding the ex-post realized volatility during the last decade for the S&P 500 market. The empirical findings also indicate that the put implied volatility has a higher forecast performance. Furthermore, from the wavelet estimations it has been concluded that the long-run variation of the implied volatility is consistent and unbiased in explaining the long-run variations of the ex-post realized volatility. Wavelet estimations further reveal that in the long-run put and call implied volatility contain comparable information regarding the realized volatility of the market. However, in the short-run put implied volatility dynamics have better predictive ability.