The authors gratefully acknowledge the helpful comments and suggestions of the editor and an anonymous referee. The authors also thank Mark Shackleton and Pradeep Yadav for helpful comments on earlier versions of the paper. Zhang gratefully acknowledges the financial support from the Research Committee of Lingnan University (grant no. DB09A2).
Regular Submission Article
Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods
Article first published online: 25 JUN 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Special Issue: Special Issue from the 1st Symposium on the Financial Econometrics of Derivative Securities and Markets
Volume 33, Issue 11, pages 1071–1095, November 2013
How to Cite
Zhang, Y., Taylor, S. J. and Wang, L. (2013), Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods. J. Fut. Mark., 33: 1071–1095. doi: 10.1002/fut.21570
- Issue published online: 16 AUG 2013
- Article first published online: 25 JUN 2012
- Manuscript Accepted: 22 MAY 2012
- Manuscript Received: 29 JUL 2011
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