Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
Year of publication: |
2001
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Authors: | Blair, Bevan J. ; Poon, Ser-Huang ; Taylor, Stephen J. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 105.2001, 1, p. 5-26
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