Concepedia

Implied Volatility Forecasting

Implied Volatility Forecasting is a quantitative methodology in financial econometrics that specifically models and predicts future market volatility by extracting forward-looking expectations from observed options prices, distinguished from historical volatility approaches by its reliance on market-implied derivatives data.

300

Publications

21.6K

Citations

548

Authors

393

Institutions

Publications per year

2017–2026

74

Parents

Publications

300

The relation between implied and realized volatility

Bent Jesper Christensen, Nagpurnanand Prabhala · Journal of Financial Economics · 1998 · 1.2K citations · Full text

, , +17

Economic uncertainty before and during the COVID-19 pandemic

Dave Altig, Scott Baker, Jose Maria Barrero et al. · Journal of Public Economics · 2020 · 993 citations · Full text

, , +14

The Information in Option Volume for Future Stock Prices

Jun Pan, Allen M. Poteshman · Review of Financial Studies · 2006 · 896 citations

, , +13

Predicting Volatility in the Foreign Exchange Market

Philippe Jorion · The Journal of Finance · 1995 · 698 citations

, , +17

The Informational Content of Implied Volatility

Linda Canina, Stephen Figlewski · Review of Financial Studies · 1993 · 673 citations

, , +17

1–5 of 300

Authors

548

  1. SJ
    Stephen J. Taylor

    Lancaster University, United Kingdom

    8 publications · 1.6K citations

    8

    h-index

  2. MG
    Massimo Guidolin

    Bocconi University, Italy

    6 publications · 276 citations

    6

    h-index

  3. GS
    George Skiadopoulos

    University of Piraeus, Greece

    6 publications · 418 citations

    6

    h-index

  4. BJ
    Bent Jesper Christensen

    Aarhus University, Denmark

    5 publications · 1.6K citations

    5

    h-index

  5. SD
    Stavros Degiannakis

    Panteion University, Greece

    5 publications · 119 citations

    5

    h-index

1–5 of 548

Institutions

393

  1. Lancaster University

    Lancaster, United Kingdom

    8 h-index

    14 publications

    2.3K citations

  2. Aarhus University

    Aarhus, Denmark

    7 h-index

    9 publications

    1.9K citations

  3. National Bureau of Economic Research

    Cambridge, United States

    6 h-index

    12 publications

    1.7K citations

  4. University of Piraeus

    Piraeus, Greece

    6 h-index

    9 publications

    748 citations

  5. Queen Mary University of London

    London, United Kingdom

    5 h-index

    7 publications

    308 citations

  6. Athens University of Economics and Business

    Athens, Greece

    5 h-index

    7 publications

    223 citations

  7. Bocconi University

    Milan, Italy

    5 h-index

    6 publications

    184 citations

  8. University of Oklahoma

    Norman, United States

    5 h-index

    5 publications

    247 citations

1–8 of 393

Venues

  1. SSRN Electronic Journal

    Repository · 45 publications · 1.2K citations

    21

    h-index

  2. Journal of Futures Markets

    25 publications · 1.1K citations

    17

    h-index

  3. Journal of Banking & Finance

    13 publications · 1.9K citations

    13

    h-index

  4. Journal of Forecasting

    8 publications · 443 citations

    8

    h-index

  5. The Journal of Derivatives

    7 publications · 502 citations

    7

    h-index

1–5