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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
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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
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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 J. - In: Journal of Econometrics 105 (2001) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10005228584
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Modelling S&P 100 volatility: The information content of stock returns
Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen J. - In: Journal of Banking & Finance 25 (2001) 9, pp. 1665-1679
Persistent link: https://www.econbiz.de/10005201681
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Modelling S&P 100 volatility: The information content of stock returns
Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen J. - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1680
Persistent link: https://www.econbiz.de/10005892365
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Stock returns and volatility : an empirical study of the UK stock market
Poon, Ser-Huang - In: Journal of banking & finance 16 (1992) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10001330028
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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
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Stock returns and volatility: An empirical study of the UK stock market
Poon, Ser-Huang; Taylor, Stephen J. - In: Journal of Banking & Finance 16 (1992) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10005194480
Cover Image
Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents
Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen J. - In: Applied financial economics 12 (2002) 5, pp. 319-330
Persistent link: https://www.econbiz.de/10007664201
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Forecasting S&P 100 Volatility : The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
Blair, Bevan - 2001
The information content of implied volatilities and intra-day returns is compared, in the context of forecasting index volatility over horizons from one to twenty days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily...
Persistent link: https://www.econbiz.de/10012743003