The authors thank the editor, Gerald Gay, and the referee, George Jiang, for their valuable comments that greatly improved the quality of this article. The authors also thank seminar participants at the Bank of Canada, McMaster University, University of Houston, University of Toronto, York University, Northern Finance Association Meetings 2004, Financial Management Association Meetings 2004, Annual Summer Conference at the Indian School of Business (ISB) 2005, the Eastern Finance Association Meetings 2005, and the Financial Management Association European Conference 2007 for their suggestions. This article received the Best Paper Award (Derivatives Category) at the Northern Finance Association Meetings 2004. The authors gratefully acknowledge Phelim Boyle, Melanie Cao, Peter Christoffersen, Kris Jacobs, Ravi Jagannathan, Mark Kamstra, Raymond Kan, Michael King, Praveen Kumar, Thomas McCurdy, Raul Susmel, and Yisong Tian for helpful comments that have significantly improved the article. This research is supported by the Social Sciences and Humanities Research Council of Canada.
THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY
Version of Record online: 7 SEP 2009
© 2009 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 32, Issue 3, pages 231–259, Fall 2009
How to Cite
Chan, W. H., Jha, R. and Kalimipalli, M. (2009), THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY. Journal of Financial Research, 32: 231–259. doi: 10.1111/j.1475-6803.2009.01249.x
- Issue online: 7 SEP 2009
- Version of Record online: 7 SEP 2009
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