FX Research - Estimating Volatility

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Estimating Volatility

•	Goldstein, Daniel G. and Taleb, Nassim Nicholas, We Don't Quite Know What We are Talking About When We Talk About Volatility, (March 28, 2007).

•	Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return,"Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65. [Estimating volatility from daily Highs & Lows]

•	Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility,"Econometrica, Econometric Society, vol. 71(2), pages 579-625.

•	Ser-Huang Poon, Clive Granger, "Practical Issues in Forecasting Volatility", Financial Analysts Journal, Vol 61(1), 2005.

•	Peter Christoffersen & Stefano Mazzotta, 2004. "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers 2004s-16, CIRANO.

•	Malik Magdon-Ismail and Amir F. Atiya, "Volatility Estimation Using High, Low, and Close Data - a Maximum Likelihood Approach",, Quantitative Finance.

Model Free Realized Volatility

•	Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.

•	Literature Overview: Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.

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Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.

Model Free Implied Volatility

•	Mark Britten-Jones & Anthony Neuberger, 2000. "Option Prices, Implied Price Processes, and Stochastic Volatility," Journal of Finance, American Finance Association, vol. 55(2), pages 839-866.

•	George J. Jiang, Yisong S. Tian, 2005 "The Model-Free Implied Volatility and Its Information Content", Review of Financial Studies 2005 18(4):1305-1342

•	Damien Lynch & Nikolaos Panigirtzoglou, 2004."Option Implied and Realised Measures of Variance," Money Macro and Finance (MMF) Research Group Conference 2004 94, Money Macro and Finance Research Group.