Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

Journal of Econometrics

Volumn 105, Issue 1, 2001, Pages 5-26

  Blair, Bevan J ^a   Poon, Ser Huang ^b   Taylor, Stephen J ^c  

^a WestLB Asset Management   (United Kingdom)

^b UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

ARCH models; Forecasting; High frequency returns; Implied volatility; Stock index volatility

Indexed keywords

EID: 0012676386     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00068-9     Document Type: Article

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