We gratefully acknowledge comments and suggestions received from Maria Curelaru, John Golob, Michael Hemler, Kiesok Lee, Scott Lyden, Carolyn Moore, Rob Neal, Richard Pettway, John Scruggs, Glenn Tanner, Kenneth Yip, and seminar participants at the University of Missouri, the University of South Carolina, Deutsche Asset Management, and the Federal Reserve Bank of Atlanta. We are responsible for any remaining errors.
ESTIMATING EXPECTED EXCESS RETURNS USING HISTORICAL AND OPTION-IMPLIED VOLATILITY
Version of Record online: 25 JAN 2006
Journal of Financial Research
Volume 29, Issue 1, pages 95–112, March 2006
How to Cite
Corrado, C. J. and Miller, T. W. (2006), ESTIMATING EXPECTED EXCESS RETURNS USING HISTORICAL AND OPTION-IMPLIED VOLATILITY. Journal of Financial Research, 29: 95–112. doi: 10.1111/j.1475-6803.2006.00168.x
- Issue online: 25 JAN 2006
- Version of Record online: 25 JAN 2006
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