Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market

Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market
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Book Synopsis Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market by : Panagiotis Pastos

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Relationship Between Implied Volatility and Realised Volatility: the Case of the German Stock Index Options Market
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In this paper we examine the information content of options on the Danish KFX share index. These options are traded very infrequently and with a low volume. We
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Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Prior studies are based on
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We show that the conclusions to be drawn concerning the informational efficiency of illiquid options depend critically on whether one is careful to recognize an
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Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteris