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Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

Blair, B J and Poon, S and Taylor, S J (2001) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics, 105 (1). pp. 5-26. ISSN 0304-4076

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Item Type: Article
Journal or Publication Title: Journal of Econometrics
Subjects: UNSPECIFIED
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 43424
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 18:59
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 22:19
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/43424

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