We would like to acknowledge with thanks help received from the Hong Kong Exchanges and Clearing Ltd. in providing the data. The authors thank Paul Draper and Bob Webb (the editor) for many helpful comments and suggestions. This study is based, in part, on Cheng's PhD thesis at Hong Kong Baptist University. The views expressed in this study are those of the authors, and do not necessarily reflect those of the Hong Kong Institute for Monetary Research, its Council of Advisors, or the Board of Directors.
The Information Content of Model-Free Implied Volatility
Version of Record online: 13 FEB 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 8, pages 792–806, August 2012
How to Cite
Cheng, X. and Fung, J. K.W. (2012), The Information Content of Model-Free Implied Volatility. J. Fut. Mark., 32: 792–806. doi: 10.1002/fut.21548
- Issue online: 1 JUN 2012
- Version of Record online: 13 FEB 2012
- Manuscript Accepted: 22 NOV 2011
- Manuscript Received: 20 NOV 2011
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