The stock implied volatility and the implied dividend volatility
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Publication:2115942
DOI10.1016/J.JEDC.2021.104276OpenAlexW3217773381MaRDI QIDQ2115942FDOQ2115942
Authors: Enoch Quaye, Radu Tunaru 
Publication date: 15 March 2022
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104276
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Cites Work
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Portfolio selection with robust estimation
- The Present-Value Relation: Tests Based on Implied Variance Bounds
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- The term structure of implied dividend yields and expected returns
- Extracting market information from equity options with exponential Lévy processes
- Dividend derivatives
- Properties of equilibrium asset prices under alternative learning schemes
- Learning and forecasts about option returns through the volatility risk premium
- Deterministic implied volatility models
- Impulse response analysis in conditional quantile models with an application to monetary policy
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