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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

Asset price dynamics, volatility, and prediction

Taylor, Stephen J.; Taylor, Stephen - 2005

Persistent link: https://www.econbiz.de/10002746484

Forecasting European equity and bond returns for tactical asset allocation

Beckers, Stan; Blair, Bevan - In: Handbuch Asset Allocation : innovative Konzepte zur …, (pp. 267-286). 2003

Persistent link: https://www.econbiz.de/10001774847

A practical guide to forecasting : financial markets volatility

Poon, Ser-Huang - 2005

Persistent link: https://www.econbiz.de/10013489917

Stock index and price dynamics in the UK and the US : new evidence from a trading rule and statistical analysis

Taylor, Stephen - In: The European journal of finance 6 (2000) 1, pp. 39-69

Persistent link: https://www.econbiz.de/10001526033

Trading futures using a channel rule : a study of the predictive power of technical analysis with currency examples

Taylor, Stephen - In: The journal of futures markets 14 (1994) 2, pp. 215-235

Persistent link: https://www.econbiz.de/10001169801

Asset Price Dynamics, Volatility, and Prediction

Taylor, Stephen J. - 2005

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily...

Persistent link: https://www.econbiz.de/10014488381

Asset price dynamics, volatility, and prediction

Taylor, Stephen J. - 2007 - 1. paperback print.

Persistent link: https://www.econbiz.de/10012683504

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

Forecasting volatility in financial markets : a review

Poon, Ser-Huang; Granger, C. W. J. - In: Journal of economic literature 41 (2003) 2, pp. 478-539

Persistent link: https://www.econbiz.de/10001783912