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 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 …

We provide first evidence of the multiscale comovement of correlations between the S&P
500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey …

Although risk is an essential element of the business landscape and one of the more widely
researched topics in business, there is noticeably less scholarship on strategic risk …

This paper examines the informational content of Implied Volatility (IV) for 493 Malaysian
and 945 Thai structured call warrants from 2014 to 2015. Unlike a regular warrant (issued by …

The study of volatility and price as interrelated functions of the market formed the basis for
many studies into option price action, but the relationship of price and the other variables did …