Implied Volatilities as Forecasts of Future Volatility, Time-Varying Risk Premia, and Returns Variability
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The unbiasedness tests of implied volatility as a forecast of future realized volatility have found implied volatility to be a biased predictor. We explain thisKeywords
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