REGIME DEPENDENT INFORMATION CONTENTS OF MODEL-FREE VOLATILITY: EVIDENCE FROM THE EURODOLLAR OPTIONS MARKETS

CHUR > College of Management > Department of Finance > Journal Articles > Item 987654321/35665

Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/35665

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:	2012
Issue Date:	2014-06-27 10:45:22 (UTC+8)
Abstract:	We assess the information efficiency of the Eurodollar options markets and find that model-free volatility is more informative than model-dependent volatilities, especially during a market downturn. The results of a Markovswitching test show that the info
Appears in Collections:	[Department of Finance] Journal Articles

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