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/asjc/1200/1207

Subjects:

?? history and philosophy of scienceeconomics and econometricsapplied mathematicsdiscipline-based research ??

Departments:

Lancaster University Management School > Accounting & Finance

ID Code:

43424

Deposited By:

ep_importer_pure

Deposited On:

11 Jul 2011 17:59

Refereed?:

Yes

Published?:

Published

Last Modified:

15 Jul 2024 11:46

URI:

https://eprints.lancs.ac.uk/id/eprint/43424