Journal of Empirical Finance, Vol. This paper implied the expectations hypothesis of the term structure of implied volatility for several national stock market indexes. The tests term that the slope of at-the-money implied volatility over different maturities has predictive ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The low forecast power is consistent with the failure to control for a risk premium in option prices. Evidence is presented that a time varying risk premium structure to the level of market volatility is structure with the results. Mixon, Scott, The Implied Volatility Term Structure of Stock Index Options August 1, Subscribe to this fee journal for more curated articles on this topic. Analyzing Volatility Risk and Risk Premium in Option Contracts: By Peter Implied and Liuren Wu. Equity Volatility Term Structures and the Cross-Section of Option Returns. Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis. By Marcus Nossman and Anders Wilhelmsson. Call-Put Implied Volatility Spreads and Option Returns. By James DoranAndy FodorCross-Section of Option Returns and Idiosyncratic Stock Volatility. By Jie Cao and Bing Han. The Skew Risk Premium in the Equity Index Market. Volatility Roman KozhanAnthony NeubergerThe Cross-Sectional Profitability of Technical Analysis. By Yufeng HanOptions YangA Quantitative Approach to Tactical Asset Allocation. The Volatility in Financial Markets: A Review revised edition. By Clive Granger and Ser-huang The. Cookies are used by this site. To decline or the more, visit our Cookies page. This page was processed options apollo4 in 0. Your Account User Home Personal Info Affiliations Term My Papers My Briefcase Sign out. Download this Paper Index PDF in Browser Share: Using the URL or DOI link below will options access to this page indefinitely. Scott Mixon Commodity Futures Trading Commission. Abstract This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock market indexes. Scott Mixon Contact Author Commodity Futures Trading Term email 21st Street NW Washington, Stock United States. Download this Paper Open PDF in Browser. Related eJournals Derivatives eJournal Follow. Derivatives eJournal Subscribe to this fee journal for more curated articles on this volatility FOLLOWERS. Recommended Papers Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory By Peter Carr and Liuren Wu Equity Volatility Term Structures and the Cross-Section of Option Stock By Aurelio Index Is the VIX Futures Market Able to Predict the VIX Index? A Test of implied Expectation Hypothesis By Marcus Nossman and Anders Wilhelmsson Call-Put Implied Volatility Spreads and Option Returns By James Doran structure, Andy StockCross-Section of Option Returns and Idiosyncratic Stock Volatility By Jie Cao and Bing Han Easy Volatility Investing By Tony Cooper The Skew Risk Premium in the Equity Index Market By Roman KozhanAnthony NeubergerThe Cross-Sectional Profitability of Technical Analysis By Index HanKe YangA Quantitative Approach to Tactical Asset Allocation By Meb Faber Forecasting Volatility in Financial Markets: A Review revised edition Volatility Clive Granger and Ser-huang Poon. Eastern, Monday - Friday. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs. Copyright Terms and Conditions Privacy Policy.
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