Items where Author is "Blair, B J"

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

Poon, S and Taylor, S J and Blair, B J (2002) Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents. Applied Financial Economics, 12. pp. 319-329. ISSN 0960-3107

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

Blair, B J and Poon, S and Taylor, S J (2001) Modelling S&P 100 volatility: the information content of stock returns. Journal of Banking and Finance, 25 (9). pp. 1665-1679. ISSN 0378-4266