2008•SSRN Electronic JournalOpen access

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen

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Key concepts: Volatility (finance), Implied volatility, Volatility smile, Economics, Financial economics, Volatility swap, Foreign exchange, Bond

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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets — Research Paper | ScholarLens