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The impact of jump dynamics on the predictive power of option-implied densities

Wang, Yaw-huei - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 9-22

Persistent link: https://www.econbiz.de/10003852617

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

The impact of non-trading periods on the measurement of volatility

Wang, Yaw-huei; Hsiao, Yu-jen - In: Review of Pacific Basin financial markets and policies 13 (2010) 4, pp. 607-620

Persistent link: https://www.econbiz.de/10008987297

The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

Chung, San-lin; Tsai, Wei-che; Wang, Yaw-huei; Weng, … - In: The journal of futures markets 31 (2011) 12, pp. 1170-1201

Persistent link: https://www.econbiz.de/10009355722

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

San-Lin, Chung - 2013

Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

Persistent link: https://www.econbiz.de/10013094125

Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"

Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38

Persistent link: https://www.econbiz.de/10009580803

Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen - In: Applied financial economics 12 (2002) 5, pp. 319-329

Persistent link: https://www.econbiz.de/10001688802

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

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579