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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - 2003
Persistent link: https://www.econbiz.de/10001852358
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Measuring and forecasting S&P 500 index-futures volatility using high-frequency data
Martens, Martin - In: The journal of futures markets 22 (2002) 6, pp. 497-518
Persistent link: https://www.econbiz.de/10001696643
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
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Stock index futures markets : stochastic volatility models and smiles
Tompkins, Robert G. - In: The journal of futures markets 21 (2001) 1, pp. 43-78
Persistent link: https://www.econbiz.de/10001537233
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F. - In: Review of derivatives research 1 (1996) 2, pp. 139-157
Persistent link: https://www.econbiz.de/10001218119
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Extracting market views from the price of options on futures
Martinez, Gregory M. - In: The journal of futures markets 18 (1998) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001234362
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033