Giulio, Cifarelli (2004): Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts. Published in: Studi e Discussioni Dipartimento di Scienze Economiche Università di Firenze No. n. 137 (February 2004)

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Abstract
The accuracy of volatility forecast estimators has been assessed using daily overlapping and non overlapping observations on two major shortterm interest rate futures contracts traded in London. The use of a panelized data set has eliminated some of the drawbacks usually associated with non overlapping data estimation, such as the lack of accuracy due to an insufficient number of observations or the arbitrariness of the choice of tenor. In the same way non stationarity and long memory characteristics of daily overlapping time series are disposed of. Information content estimation in levels associated with the Hansen (1982) variance covariance matrix estimator provides reasonably accurate estimates, broadly similar to the corresponding benchmark panel data ones.
Item Type:  MPRA Paper 

Original Title:  Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts 
Language:  English 
Keywords:  Options; stochastic volatility; panel data analysis 
Subjects:  G  Financial Economics > G1  General Financial Markets > G14  Information and Market Efficiency ; Event Studies ; Insider Trading C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C23  Panel Data Models ; Spatiotemporal Models C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  28655 
Depositing User:  Giulio Cifarelli 
Date Deposited:  09 Feb 2011 19:49 
Last Modified:  26 May 2016 22:27 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/28655 