2007•Journal of Banking & FinanceRequires access

Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Ralf Becker, Adam Clements, Scott I. White

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Key concepts: Volatility (finance), Implied volatility, Forward volatility, Volatility swap, Volatility smile, Volatility risk premium, Econometrics, Economics

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Does implied volatility provide any information beyond that captured in model-based volatility forecasts? — Research Paper | ScholarLens