The term structure of option-implied volatility and future realized volatility

Shi, Y. , Zhang, H., Xu, Y. and Zhao, Y. (2019) The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), pp. 2997-3022. (doi: 10.1080/1540496X.2019.1612360)

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Abstract

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Item Type:Articles
Additional Information:This work was supported by the National Natural Science Foundation of China [71801117].
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Shi, Dr Yukun and Zhang, Mr Hao and Xu, Mr Yaofei
Authors: Shi, Y., Zhang, H., Xu, Y., and Zhao, Y.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Emerging Markets Finance and Trade
Publisher:Taylor & Francis
ISSN:1540-496X
ISSN (Online):1558-0938
Published Online:11 June 2019
Copyright Holders:Copyright © 2019 Taylor and Francis Group, LLC
First Published:First published in Emerging Markets Finance and Trade 55(13): 2997-3022
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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