Concepedia

Implied Volatility Term Structure

Implied Volatility Term Structure is a financial economics construct that specifies the relationship between implied volatilities of options and their respective maturities, capturing the market’s forward-looking volatility expectations across different time horizons.

215

Publications

14.1K

Citations

381

Authors

284

Institutions

Publications per year

2017–2026

62

Variants

Volatility Term Structure

Parents

Publications

215

Stock market volatility and the information content of stock index options

Theodore E. Day, Craig M. Lewis · Journal of Econometrics · 1992 · 697 citations

, , +16

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

Henry A. Latané, Richard J. Rendleman · The Journal of Finance · 1976 · 637 citations

, , +16

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

Bevan Blair, Ser‐Huang Poon, Stephen J. Taylor · Journal of Econometrics · 2001 · 617 citations

, , +17

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Tim Bollerslev, Michael S. Gibson, Hao Zhou · Journal of Econometrics · 2010 · 500 citations · Full text

, , +17

Dynamics of implied volatility surfaces

Rama Cont, José Da Fonseca · Quantitative Finance · 2002 · 443 citations

, , +17

1–5 of 215

Authors

381

  1. EB
    Elie Bouri

    Lebanese American University, Lebanon

    5 publications · 726 citations

    5

    h-index

  2. SJ
    Stephen J. Taylor

    Lancaster University, United Kingdom

    4 publications · 955 citations

    4

    h-index

  3. LW
    Liuren Wu

    Baruch College, United States

    4 publications · 270 citations

    4

    h-index

  4. DR
    David R. Peterson

    Florida State University, United States

    3 publications · 262 citations

    3

    h-index

  5. MS
    Michael S. Gibson

    Federal Reserve, United States

    3 publications · 640 citations

    3

    h-index

1–5 of 381

Institutions

284

  1. Duke University

    Durham, United States

    7 h-index

    8 publications

    940 citations

  2. University of Vaasa

    Vaasa, Finland

    6 h-index

    9 publications

    502 citations

  3. University of Toronto

    Toronto, Canada

    6 h-index

    11 publications

    410 citations

  4. Holy Spirit University of Kaslik

    Beirut, Lebanon

    5 h-index

    5 publications

    726 citations

  5. Federal Reserve

    Washington D.C., United States

    4 h-index

    7 publications

    1.2K citations

  6. New York University

    New York, United States

    4 h-index

    5 publications

    187 citations

  7. Federal Reserve Board of Governors

    Washington D.C., United States

    4 h-index

    7 publications

    1.2K citations

  8. National Bureau of Economic Research

    Cambridge, United States

    4 h-index

    5 publications

    389 citations

1–8 of 284

Venues

  1. SSRN Electronic Journal

    Repository · 27 publications · 833 citations

    17

    h-index

  2. Journal of Banking & Finance

    15 publications · 1.1K citations

    14

    h-index

  3. Journal of Futures Markets

    13 publications · 393 citations

    12

    h-index

  4. The Journal of Finance

    11 publications · 2K citations

    11

    h-index

  5. Energy Economics

    8 publications · 807 citations

    8

    h-index

1–5