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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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A nonparametric approach to forecasting realized volatility
Clements, Adam; Becker, Ralf - 2009
Persistent link: https://www.econbiz.de/10003880632
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Forecast performance of implied volatility and the impact of the volatility risk premium
Becker, Ralf; Clements, Adam; Coleman-Fenn, Christopher - 2009
Persistent link: https://www.econbiz.de/10003880636
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Semi-parametric forecasting of realized volatility
Becker, Ralf; Clements, Adam; Hurn, Stan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10009521204
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Weighted smooth transition regressions
Becker, Ralf; Osborn, Denise R. - In: Journal of applied econometrics 27 (2012) 5, pp. 795-811
Persistent link: https://www.econbiz.de/10010219730