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Forecasting S&P 100 volatility : the incremental information content of implied volatilities and high-frequency index returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of econometrics 105 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001617140

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

Returns synchronization and daily correlation dynamics between international stock markets

Martens, Martin; Poon, Ser-Huang - In: Journal of banking & finance 25 (2001) 10, pp. 1805-1827

Persistent link: https://www.econbiz.de/10001608846

Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX

Hilal, Sawsan; Poon, Ser-Huang; Tawn, Jonathan - In: Journal of banking & finance 35 (2011) 9, pp. 2374-2387

Persistent link: https://www.econbiz.de/10009247196

The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10010302536