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Do bulls and bears moe across borders? : International transmission of stock returns and volatility

Lin, Wen-ling Tsai - In: The review of financial studies 7 (1994) 3, pp. 507-538

Persistent link: https://www.econbiz.de/10001169082

Measuring and testing the impact of news on volatility

Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778

Persistent link: https://www.econbiz.de/10001155967

News and idiosyncratic volatility : the public information processing hypothesis

Engle, Robert F.; Hansen, Martin Klint; Karagozoglu, … - In: Journal of financial econometrics 19 (2021) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012504316

A test of efficiency for the S & P 500 index option market using variance forecasts

Noh, Jaesun - 1993

Persistent link: https://www.econbiz.de/10000886080

A test of efficiency for the S&P 500 index option market using variance forecasts

Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993 - Rev

Persistent link: https://www.econbiz.de/10000877939

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

Noh, Jaesun; Engle, Robert F.; Kane, Alex - 2022

To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990), and Harvey and Whaley (1992)]. In contrast, the ARCH model proposed by Engle (1982) models the dynamic behavior in volatility,...

Persistent link: https://www.econbiz.de/10013322120