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Does the option market produce superior forecasts of noise-corrected volatility measures?

  1. Gael M. Martin*,
  2. Andrew Reidy,
  3. Jill Wright

Article first published online: 4 DEC 2008

DOI: 10.1002/jae.1033

Issue

Journal of Applied Econometrics

Journal of Applied Econometrics

Volume 24, Issue 1, pages 77–104, January/February 2009

Additional Information

How to Cite

M. Martin, G., Reidy, A. and Wright, J. (2009), Does the option market produce superior forecasts of noise-corrected volatility measures?. J. Appl. Econ., 24: 77–104. doi: 10.1002/jae.1033

Author Information

  1. Department of Econometrics and Business Statistics, Monash University, Melbourne, Victoria, Australia

*Department of Econometrics and Business Statistics, PO Box 11E, Monash University, Melbourne, Victoria 3800, Australia.

Publication History

  1. Issue published online: 16 DEC 2008
  2. Article first published online: 4 DEC 2008
  3. Manuscript Revised: 2 OCT 2007
  4. Manuscript Received: 25 MAY 2006

Funded by

  • Australian Research Council Discovery. Grant Number: DP0664121

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  1. 1
    Stephen J. Taylor, Pradeep K. Yadav, Yuanyuan Zhang, The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks, Journal of Banking & Finance, 2010, 34, 4, 871

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