References
- Ang, A., Hodrick, R.J., Xing, Y. and Zhang, X., The cross-section of volatility and expected returns. J. Finance, 2006, 61(1), 259–299.
- Banerjee, P.S., Doran, J.S. and Peterson, D.R., Implied volatility and future portfolio returns. J. Bank. Finance, 2007, 31(2007), 3183–3199.
- Beckers, S., Standard deviations implied in option prices as predictors of future stock price variability. J. Bank. Finance, 1981, 5, 363–381.
- Black, F. and Scholes, M., The pricing of options and corporate liabilities. J. Polit. Econ., 1973, 81(3), 637–654.
- Britten-Jones, M. and Neuberger, A., Option prices, implied price processes, and stochastic volatility. J. Finance, 2003, 55, 839–866.
- Canina, L. and Figlewski, S., The informational content of implied volatility. Rev. Financ. Stud., 1993, 6, 659–681.
- Carhart, M., On persistence in mutual fund performance. J. Finance, 1997, 52, 57–82.
- Carr, P. and Wu, L., A Tale of Two Indices. J. Deriv., 2006, 13(3), 13–29.
- Chiras, D.P. and Manaster, S., The information content of option prices and a test of market efficiency. J. Financ. Econ., 1978, 6(2–3), 213–234.
- Copeland, M. and Copeland, T., Market Timing: Style and Size Rotation Using the VIX. Financ. Anal. J., 1999, Mar/Apr, 73–81.
- Day, T. and Lewis, C., Forecasting futures markets volatility. J. Deriv., 1993, 1, 51–63.
- Fama, E., Efficient capital markets: A review of theory and empirical work. J. Finance, 1970, 25, 383–417.
- Fama, E. and French, K., Common Risk Factors in the Returns on Stocks and Bonds. J. Financ. Econ., 1993, 33, 3–56.
- French, K., Schwert, G. and Stambaugh, R., Expected stock returns and volatility. J. Financ. Econ., 1987, 19(1), 3–29.
- Giot, P., Relationships between implied volatility indexes and stock index returns. J. Portfolio Manage., 2005, 26, 12–17.
- Grossman, S.J. and Stiglitz, J.E., On the impossibility of informationally efficient markets. Am. Econ. Rev., 1980, 70(3), 393–408.
- Gwilym, O. and Buckle, M., Volatility forecasting in the framework of the option expiry cycle. Eur. J. Finance, 1999, 5, 73–94.
- Harvey, C.R. and Whaley, R.E., Market volatility prediction and the efficiency of the S & P 100 index option market. J. Financ. Econ., 1992a, 31, 43–73.
- Jiang, George J. and Yisong Tian, S., Extracting model-free volatility from option prices: An examination of the vix index. J. Deriv., 2007, 14(3), 35–60.
- Jorion, P., Predicting volatility in the foreign exchange market. J. Finance, 1995, 50(2), 507–528.
- Koopman, S.J., Jungbacker, B. and Hol, E., Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. J. Empir. Finance, 2005, 12(3), 445–475.
- Lamoureux, C.G. and Lastrapes, W.D., Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. Rev. Financ. Stud., 1993, 6(2), 293–326.
- Whaley, R.E., The investor fear gauge. J. Portfolio Manage., 2000, 26, 12–17.