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- Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
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Citations
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Cited by:
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- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
- Shang, Han Lin & Kearney, Fearghal, 2022.
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International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
- Han Lin Shang & Fearghal Kearney, 2021. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," Papers 2107.14026, arXiv.org.
- Guidolin, Massimo & Wang, Kai, 2023.
"The empirical performance of option implied volatility surface-driven optimal portfolios,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
- Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
- Du, Kai, 2019. "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 134-157.
- Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
- Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Martin Magris & Perttu Barholm & Juho Kanniainen, 2017. "Implied volatility smile dynamics in the presence of jumps," Papers 1711.02925, arXiv.org, revised May 2020.
- Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
- Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.
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More about this item
Keywords
option pricing; rational learning; bayesian updating; implied volatility; predictability. jel classification: g12; d83.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
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