학술논문
Informational Content of Volatility Forecasts in Eurodollar Markets
이용수 36
- 영문명
- 발행기관
- People & Global Business Association
- 저자명
- Kwan ho Kim
- 간행물 정보
- 『Global Business and Finance Review』Vol.21 No.2, 86~99쪽, 전체 14쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 2016.12.30
4,480원
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국문 초록
영문 초록
The volatility of asset prices as a measure of risk in the financial market has motivated many financial economists and industry professionals, and induced the innovation in the financial markets. The paper studies how expectations of future volatility are formed, and whether or not historical or implied volatilities measures for different maturity and moneyness of options have any information to explain ex post actual volatility over the life of the options in Eurodollar futures and futures options markets. Employing the autocorrelation and heteroscedasticity consistent GMM regression test, we find that the volatilities implied in the at-the-money options tend to outperform the in-the-money or out-of-the-money implied volatilities and different definitions of historical volatilities.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Eurodollar Futures and Eurodollar Futures Option Markets
Ⅲ. The Informational Content of Implied and Historical Volatility
Ⅳ. GMM Regression Test Correcting for Autocorrelation and Heteroscedasticity
Ⅴ. Concluding Remarks
Acknowledgments
References
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