Essays on the Forecasting Power of Implied Volatility
In this dissertation, I look at the forecasting power of implied volatility. I decompose implied volatility into a risk component and a sentiment component, and examine the forecasting power of these components for future returns and volatilities of portfolios sorted by important firm characteristic...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-1048 |