Time Varying Volatilities and Calculation of the Weighted Implied Standard Deviation
改进了Maloney-Rogalski的方法，构建了到期日特定的加权隐含标准差，发现其月度模式与事后方差一致，且能提升期权定价模型的表现。
Rogalski-Tinic have reported a monthly pattern in ex post stock return variances that differs between small and large market capitalization firms. Maloney-Rogalski find that option prices reflect these monthly patterns ex ante. This study extends Maloney-Rogalski's work by devising an expiration-specific weighted implied standard deviation (WISD). It is found that: i) the monthly patterns in one-month WISDs are basically similar to the monthly patterns in ex post variances detected by Rogalski-Tinic for both large and small size firms, and ii) use of expiration-specific WISDs, as opposed to standard composite WISDs, results in improved performance of option pricing models.