Expectations hypothesis of the term structure of implied volatility: re-examination

Expectations hypothesis of the term structure of implied volatility: re-examination
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Book Synopsis Expectations hypothesis of the term structure of implied volatility: re-examination by : Soku Byoun

Download or read book Expectations hypothesis of the term structure of implied volatility: re-examination written by Soku Byoun and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:


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I examine the predictability of equity implied volatility from the term structure, and find that forward volatility levels are biased predictors of future spot