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Cronfa at Swansea University
Article . 1997
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Applied Economics Letters
Article . 1997 . Peer-reviewed
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Applied Economics Letters
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Swansea University: Cronfa
Article . 1997
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Forward/forward volatilities and the term structure of implied volatility

descriptionPublicationkeyboard_double_arrow_right Article 01 May 1997 English Publisher:Informa UK LimitedJournal:Applied Economics Letters, volume 4, pages 325-328 (issn: 1350-4851, eissn: 1466-4291, Copyright policy )
Authors: Mike Buckle; Owain ap Gwilym;

doi: 10.1080/758532602

Forward/forward volatilities and the term structure of implied volatility

Abstract

Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Average
Average
Average
Green
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