The stock implied volatility and the implied dividend volatility

DOI10.1016/J.JEDC.2021.104276MaRDI QIDQ2115942zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

trading strategiesdividend puzzleimplied volatility differencesimplied volatility modelsindex dividend futures option trading

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Deterministic implied volatility models
• Dividend derivatives
• Extracting market information from equity options with exponential Lévy processes
• Impulse response analysis in conditional quantile models with an application to monetary policy
• Learning and forecasts about option returns through the volatility risk premium
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Portfolio selection with robust estimation
• Properties of equilibrium asset prices under alternative learning schemes
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• The term structure of implied dividend yields and expected returns

Cited in

(1)

• The term structure of implied dividend yields and expected returns

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