Regime Dependent Information Contents of Model-Free Volatility: Evidence from the Eurodollar Options Markets

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Title:	Regime Dependent Information Contents of Model-Free Volatility: Evidence from the Eurodollar Options Markets
Authors:	陳怡璇 Chen, Yi-Hsuan
Contributors:	財務管理學系 Finance
Keywords:	Model-free volatility;Implied volatility;Information content;Eurodollar options markets
Date:	2011
Issue Date:	2014-06-27 00:06:05 (UTC+8)
Abstract:	We assess the information efficiency of the Eurodollar options markets and find that the information contents of model-free volatility and at-the-money volatility differ between regimes. The results of a Markov-switching test show that the model-free vola
Appears in Collections:	[Department of Finance] Seminar Papers

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