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publications

(19)   

• Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options
  Gianluca Cassese and Massimo Guidolin International Review of Financial Analysis15(2):145--178(2006)
  to Implied volatility by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Do Swedes smile?: On implied volatility functions
  Malin Engström Journal of Multinational Financial Management12(4-5):285--304002002.
  to volatility Implied by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Scheduled domestic and US macroeconomic news and stock valuation in Europe
  Jussi Nikkinen and Petri Sahlström Journal of Multinational Financial Management14(3):201--215Jul2004.
  to Implied volatility by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany
  Niklas Wagner and Alexander Szimayer Research in International Business and Finance18(3):237--251Sep2004.
  to volatility Implied by smicha on Apr 28, 2008, 1:05 PM
  URL | BibTeX 
• Equilibrium analysis of volatility clustering
  Joel M. Vanden Journal of Empirical Finance12(3):374--417Jun2005.
  to Implied risk aversion by smicha on Apr 23, 2008, 10:05 PM
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• The implied volatility term structure of stock index options
  Scott Mixon Journal of Empirical Finance14(3):333--354Jun2007.
  to Implied volatility by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• The importance of the loss function in option valuation
  Peter Christoffersen and Kris Jacobs Journal of Financial Economics72(2):291--318May2004.
  to Implied functions volatility by smicha on Apr 22, 2008, 3:17 PM
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• Are combination forecasts of S\&P 500 volatility statistically superior?
  Ralf Becker and Adam E. Clements International Journal of Forecasting24(1):122--133002008.
  to Implied volatility by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Evolution of market uncertainty around earnings announcements
  Dusan Isakov and Christophe P'erignon Journal of Banking \& Finance25(9):1769--1788Sep2001.
  to volatility Implied by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Testing the stability of implied probability density functions
  Robert R. Bliss and Nikolaos Panigirtzoglou Journal of Banking \& Finance26(2-3):381--422Mar2002.
  to functions Implied density by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Information about bank risk in options prices
  Steve Swidler and James A. Wilcox Journal of Banking \& Finance26(5):1033--1057May2002.
  to volatility Implied by smicha on Apr 22, 2008, 1:53 PM
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• A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S\&P 500 options
  Nikolaos Panigirtzoglou and George Skiadopoulos Journal of Banking \& Finance28(7):1499--1520Jul2004.
  to distribution Implied by smicha on Apr 22, 2008, 1:53 PM
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• Evaluating implied RNDs by some new confidence interval estimation techniques
  Magnus Andersson and Magnus Lomakka Journal of Banking \& Finance29(6):1535--1557Jun2005.
  to Implied risk-neutral distribution by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• The information frown in option prices
  Louis Ederington and Wei Guan Journal of Banking \& Finance29(6):1429--1457Jun2005.
  to Implied volatility by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
  Ralf Becker and Adam E. Clements and Scott I. White Journal of Banking \& Finance31(8):2535--2549Aug2007.
  to volatility Implied by smicha on Apr 22, 2008, 1:53 PM
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• Modelling implied volatility with OLS and panel data models
  Mthuli Ncube Journal of Banking \& Finance20(1):71--84Jan1996.
  to volatility Implied by smicha on Apr 22, 2008, 1:53 PM
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• A note on a simple, accurate formula to compute implied standard deviations
  Charles J. Corrado and Thomas W. Miller Journal of Banking \& Finance20(3):595--603Apr1996.
  to volatility Implied by smicha on Apr 22, 2008, 1:53 PM
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• Implied volatility from the term structure: a simple analytical approximation
  James M. Steeley Economics Letters57(3):345--352Dec1997.
  to volatility Implied by smicha on Apr 21, 2008, 10:09 PM
  URL | BibTeX 
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
  Yacine Ait-Sahalia and Peter J. Bickel and Thomas M. Stoker Journal of Econometrics105(2):363--412Dec2001.
  to volatility smile Implied by smicha on Apr 21, 2008, 10:02 PM
  URL | BibTeX