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