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Publications by Leonidas Tsiaras

The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks

SSRN Electronic Journal

English

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Intraday Volatility Forecasting From Implied Volatility

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Arbitrage-Free Smoothing of the Implied Volatility Surface

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Analogy Making and the Structure of Implied Volatility Skew

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Implied Distribution as a Function of the Volatility Smile

SSRN Electronic Journal

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Long Memory Persistence in the Factor of Implied Volatility Dynamics

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On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

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Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

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Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks

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