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Volumn 14, Issue 1, 2004, Pages 1-11

Forecasting volatility in the Spanish option market

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; FORECASTING METHOD; MARKET CONDITIONS; PERFORMANCE ASSESSMENT;

EID: 1142305239     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000164176     Document Type: Article
Times cited : (17)

References (17)
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  • 2
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  • 3
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    • An evaluation of volatility forecasting techniques
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    • Brailsford, T.J.1    Faff, R.W.2
  • 5
    • 0032371737 scopus 로고    scopus 로고
    • Volatility forecasting and the efficiency of the Toronto 35 Index Options Market Revue canadienne des sciences de ĺadministration
    • Doidge, C. and Wei, J. Z. (1998) Volatility forecasting and the efficiency of the Toronto 35 Index Options Market, Revue canadienne des sciences de ĺadministration. Canadian Journal of Administrative Sciences, 15(1), 28-38.
    • (1998) Canadian Journal of Administrative Sciences , vol.15 , Issue.1 , pp. 28-38
    • Doidge, C.1    Wei, J.Z.2
  • 6
    • 0345923875 scopus 로고    scopus 로고
    • Implied volatility functions: Empirical test
    • Dumas, B., Fleming, J. and Whaley, R. E. (1998) Implied volatility functions: empirical test, Journal of Finance, 53, 2059-109.
    • (1998) Journal of Finance , vol.53 , pp. 2059-2109
    • Dumas, B.1    Fleming, J.2    Whaley, R.E.3
  • 7
    • 0012854708 scopus 로고    scopus 로고
    • Mimeo, Finance Division, Michael F. Price College of Business, University of Oklahoma
    • Ederington, L. H. and Guan, W. (1999) Forecasting volatility, Mimeo, Finance Division, Michael F. Price College of Business, University of Oklahoma.
    • (1999) Forecasting Volatility
    • Ederington, L.H.1    Guan, W.2
  • 8
    • 0000642051 scopus 로고    scopus 로고
    • The quality of market volatility forecasts implied by S&P 100 index option prices
    • Fleming, J. (1998) The quality of market volatility forecasts implied by S&P 100 index option prices, Journal of Empirical Finance, 5, 317-45.
    • (1998) Journal of Empirical Finance , vol.5 , pp. 317-345
    • Fleming, J.1
  • 9
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, L. R., Jagannathan, R. and Runkle, D. E. (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance, 48(5), 1779-801.
    • (1993) The Journal of Finance , vol.48 , Issue.5 , pp. 1779-1801
    • Glosten, L.R.1    Jagannathan, R.2    Runkle, D.E.3
  • 11
    • 44049123656 scopus 로고
    • Market volatility prediction and the efficiency of the S and P 100 index option market
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    • (1992) Journal of Financial Economics , vol.31 , pp. 43-73
    • Harvey, C.R.1    Whaley, R.E.2
  • 12
    • 0033227421 scopus 로고    scopus 로고
    • Combining conditional volatility forecasts using neural networks: An application to the EMS exchange rates
    • Hu, M. Y. and and Tsoukalas, C. (1999) Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates, Journal of International Financial Markets, Institutions and Money, 9, 407-22.
    • (1999) Journal of International Financial Markets, Institutions and Money , vol.9 , pp. 407-422
    • Hu, M.Y.1    Tsoukalas, C.2
  • 14
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    • ARCH models as diffusion approximations
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  • 15
    • 0002011215 scopus 로고
    • Forecasting volatility and option prices of the S and P 500 index
    • fall
    • Noh, J., Engle, R. F. and Kane, A. (1994) Forecasting volatility and option prices of the S&P 500 index, The Journal of Derivatives, fall, 17-30.
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  • 16
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    • The behavior of volatility expectations and their effects on expected returns
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  • 17
    • 0000393458 scopus 로고
    • Feedforward neural nets as models for time series forecasting
    • Tang, Z. P. and Fishwick, A. (1993) Feedforward neural nets as models for time series forecasting, ORSA Journal of Computing, 5, 374-85.
    • (1993) ORSA Journal of Computing , vol.5 , pp. 374-385
    • Tang, Z.P.1    Fishwick, A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.