The stock implied volatility and the implied dividend volatility

DOI10.1016/j.jedc.2021.104276OpenAlexW3217773381MaRDI QIDQ2115942

Enoch Quaye, Radu S. Tunaru

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics \& 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)

Uses Software

• BRENT

Cites Work

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

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