The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

DOI10.1016/j.jeconom.2010.03.014zbMath1441.62620OpenAlexW3124028486MaRDI QIDQ737260

Bent Jesper Christensen, Morten Ørregaard Nielsen, Thomas Busch

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/273658

zbMATH Keywords

optionsjumpsimplied volatilityrealized volatilityvolatility forecastingbipower variationHAR (heterogeneous autoregressive model)vechar

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Volatility puzzles: a simple framework for gauging return-volatility regressions
• Limit theorems for multipower variation in the presence of jumps
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Power Variation and Time Change
• Modeling and Forecasting Realized Volatility
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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