Work

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Year: 1999

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.182128

Authors: Bevan Blair, Ser-Huang Poon, Stephen J. Taylor

Institutions: University of Manchester, The Alan Turing Institute, Lancaster University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2017480909

Cites: 36

Cited by: 40

Related to: 10