The information content of risk-neutral skewness for volatility forecasting

Journal of Empirical Finance ◽

10.1016/j.jempfin.2013.05.006 ◽

2013 ◽

Vol 23 ◽

pp. 142-161 ◽

Author(s):

Suk Joon Byun ◽

Jun Sik Kim

Keyword(s):

Information Content ◽

Volatility Forecasting ◽

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The Information Content of ITM-Options for Risk-Neutral Skewness and Informed Trading

SSRN Electronic Journal ◽

10.2139/ssrn.3439906 ◽

2019 ◽

Author(s):

Hannes Mohrschladt ◽

Judith C. Schneider

Keyword(s):

Information Content ◽

Informed Trading ◽

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The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market

Energy Economics ◽

10.1016/j.eneco.2018.06.005 ◽

2018 ◽

Vol 74 ◽

pp. 370-386 ◽

Author(s):

Xu Gong ◽

Boqiang Lin

Keyword(s):

Crude Oil ◽

Information Content ◽

Futures Market ◽

Volatility Forecasting ◽

Oil Futures ◽

Incremental Information ◽

Crude Oil Futures

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Information Content in Sneer Asymmetry: An Application to OOS Implied Volatility Forecasting

SSRN Electronic Journal ◽

10.2139/ssrn.2180379 ◽

2012 ◽

Author(s):

Youngsoo Choi ◽

Steven J. Jordan ◽

Wonchang Lee

Keyword(s):

Information Content ◽

Implied Volatility ◽

Volatility Forecasting

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Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?

Journal of Financial Markets ◽

10.1016/j.finmar.2020.100614 ◽

2020 ◽

pp. 100614

Author(s):

Ging-Ginq Pan ◽

Yung-Ming Shiu ◽

Tu-Cheng Wu

Keyword(s):

Information Content ◽

Risk Neutral ◽

Skewness And Kurtosis

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The information content of option-implied information for volatility forecasting with investor sentiment

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2014.09.010 ◽

2015 ◽

Vol 50 ◽

pp. 106-120 ◽

Author(s):

Sung Won Seo ◽

Jun Sik Kim

Keyword(s):

Information Content ◽

Investor Sentiment ◽

Volatility Forecasting

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Information Content in Sneer Asymmetry: An Application to Out-of-Sample Implied Volatility Forecasting

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2015.1039900 ◽

2015 ◽

Vol 51 (sup3) ◽

pp. 34-51

Author(s):

Youngsoo Choi ◽

Steven J. Jordan ◽

Wonchang Lee

Keyword(s):

Information Content ◽

Implied Volatility ◽

Volatility Forecasting ◽

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The information content of the term structure of risk-neutral skewness

Journal of Empirical Finance ◽

10.1016/j.jempfin.2020.06.003 ◽

2020 ◽

Vol 58 ◽

pp. 247-274 ◽

Author(s):

Paul Borochin ◽

Hao Chang ◽

Yangru Wu

Keyword(s):

Information Content ◽

Term Structure ◽

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The Information Content of Intraday Implied Volatility for Volatility Forecasting

Journal of Forecasting ◽

10.1002/for.2373 ◽

2015 ◽

Vol 35 (2) ◽

pp. 167-178 ◽

Author(s):

Yaw-Huei Wang ◽

Yun-Yi Wang

Keyword(s):

Information Content ◽

Implied Volatility ◽

Volatility Forecasting

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The information content of Chinese volatility index for volatility forecasting

Applied Economics Letters ◽

10.1080/13504851.2020.1753876 ◽

2020 ◽

pp. 1-8

Author(s):

Zhe Li ◽

Wei-Guo Zhang ◽

Yue Zhang

Keyword(s):

Information Content ◽

Volatility Forecasting ◽

Volatility Index

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The Information Content of the Term Structure of Risk-Neutral Skewness

SSRN Electronic Journal ◽

10.2139/ssrn.2971057 ◽

2017 ◽

Author(s):

Paul Borochin ◽

Hao Chang ◽

Yangru Wu

Keyword(s):

Information Content ◽

Term Structure ◽

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