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Implied volatility as a predictor: the case of the Ibex 35 future contract
the underlying asset. For this aim we use daily data from Ibex 35 future and option market (years2000 to 2003). We obtain a series of daily IMV from the option prices and two additional series, onefor historical and another for realised volatility, from the daily quotes of Ibex 35 future contract...
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| Publicado no: | Estudios de Economía Aplicada |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Asociación Internacional de Economía Aplicada
2005
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=30123104 |
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