Financial volatility modeling with option-implied information and important macro-factors

The research debate on the informational content embedded in option prices mostly approves the incremental predictive power of implied volatility estimates for financial volatility forecasting beyond that contained in GARCH and realized variance models. Contributing to this ongoing debate, we introd...

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Bibliographic Details
Main Authors: Stavroula Yfanti, Menelaos Karanasos
Format: Default Article
Published: 2021
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