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:
Journal Article
Journal or Publication Title:
Journal of Econometrics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
43424
Deposited By:
Deposited On:
11 Jul 2011 17:59
Refereed?:
Yes
Published?:
Published
Last Modified:
30 Jul 2020 07:48