This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

According to rational expectation models, uninformed or liquidity trading make market price
volatility rise. This paper sets out to analyse the impact of herding, which may be interpreted …

This study examines the existence of herding effects in the US REIT market, constructing a
survivorship-bias-free dataset of daily returns during the period January 2004–December …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

By analyzing the daily realized volatility series calculated from intraday stock price
observations, this study examines the direct causality between one-day-ahead aggregate …

We address the question whether the evolution of implied volatility can be forecasted by
studying a number of European and US implied volatility indices. Both point and interval …

We use quantile regression to investigate the short‐term return‐volatility relation between
stock index returns and changes in implied volatility index. Neither the leverage hypothesis …

This study develops an implied volatility index for the Australian stock market, termed as the
AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 …

We examine how the implied volatility in the US financial market has been affected by the
COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) …

We explore the ability of alternative popular continuous-time diffusion and jump-diffusion
processes to capture the dynamics of implied volatility indices over time. The performance of …