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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 (2010) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. In: Handbook of Quantitative Finance and Risk Management. Springer, Berlin, pp. 1333-1344. ISBN 9780387771168

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Item Type: Contribution in Book/Report/Proceedings
Subjects: H Social Sciences > HG Finance
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 47586
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:19
Refereed?: No
Published?: Published
Last Modified: 10 Apr 2014 00:35
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/47586

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