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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Contribution in Book/Report/Proceedings
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/hg
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ID Code:
47586
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Deposited On:
11 Jul 2011 20:19
Refereed?:
No
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Published
Last Modified:
10 Feb 2020 04:25