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 …

Public interest, explosive returns, and diversification opportunities gave stimulus to the
adoption of traditional financial tools to crypto-currencies. While the CRIX offered the first …

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 …

This study develops a one-month forward-looking natural gas volatility (NGVX), based on a
state-preference framework. Both in-sample and out-of-sample forecasting results indicate …

This study analyses the presence of implied volatility smirk (IVS) and its predictability of the
US stock market crash during the Global Financial Crisis (GFC) through the in-sample and …

The crypto-currency market brings along unusual levels of risk and returns compared to
traditional markets. Historical volatility shows behavior that is rendering estab-lished trading …

This thesis focuses on solving the problem of uncertainty measurement and its impact on
business decisions while pursuing two goals: first, develop and validate accurate and robust …

Purpose The purpose of this paper is to examine whether volatility implied from dollar-rupee
options is an unbiased and efficient predictor of ex post volatility, and to determine which …

This paper provides new evidence to compare the information content of model-free implied
volatility (MFIV) and model-based volatility for forecasting future volatility of the S&P 500. We …

This thesis examines the forecasting accuracy of implied volatility and investigates whether
the expected volatility of implied volatility or the market volatility level affects the forecasting …