-
1
-
-
14544284212
-
An assessment of alternative models of financial market volatility
-
B. Warwick, ed., New York: John Wiley & Sons
-
Bilson, J. "An Assessment of Alternative Models of Financial Market Volatility." In B. Warwick, ed., Handbook of Risk. New York: John Wiley & Sons, 2003.
-
(2003)
Handbook of Risk
-
-
Bilson, J.1
-
3
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81(1973), pp. 637-659.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
4
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T. "Generalized Autoregressive Conditional Heteroscedasticity." Journal of Econometrics, 31(1986), pp. 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
5
-
-
21344496103
-
The information content of implied volatility
-
Canina, L., and S. Figlewski. "The Information Content of Implied Volatility." Review of Financial Studies, 6(1993), pp. 659-681.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 659-681
-
-
Canina, L.1
Figlewski, S.2
-
6
-
-
0000243642
-
The relation between implied and realized volatility
-
Christensen, B., and N. Prabhala. "The Relation Between Implied and Realized Volatility." Journal of Financial Economics, 50(1998), pp. 125-150.
-
(1998)
Journal of Financial Economics
, vol.50
, pp. 125-150
-
-
Christensen, B.1
Prabhala, N.2
-
7
-
-
49049143130
-
The stochastic behavior of common stock variances: Value, leverage and interest rate effects
-
Christie, A. "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects." Journal of Financial Economics, 10(1982), pp. 407-432.
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 407-432
-
-
Christie, A.1
-
9
-
-
84963146757
-
Modeling the persistence of conditional variances
-
Engle, R., and T. Bollerslev. "Modeling the Persistence of Conditional Variances." Econometric Review, 5(1986), pp. 1-50.
-
(1986)
Econometric Review
, vol.5
, pp. 1-50
-
-
Engle, R.1
Bollerslev, T.2
-
10
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engle, R., and V. Ng. "Measuring and Testing the Impact of News on Volatility." Journal of Finance, 48(1993), pp. 1749-1778.
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engle, R.1
Ng, V.2
-
11
-
-
0001856618
-
Forecasting volatility, financial markets
-
Boston: Blackwell Publishers
-
Figlewski, S. "Forecasting Volatility, Financial Markets." In Institutions and Instruments, Vol. 6, No. 1. Boston: Blackwell Publishers, 1997.
-
(1997)
Institutions and Instruments
, vol.6
, Issue.1
-
-
Figlewski, S.1
-
12
-
-
0000642051
-
The quality of market volatility forecasts implied by S&P 100 index option prices
-
Fleming, J. "The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices." Journal of Empirical Finance, 5(1998), pp. 317-345.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 317-345
-
-
Fleming, J.1
-
13
-
-
84978597670
-
Predicting stock market volatility: A new measure
-
Fleming, J., B. Ostdiek, and R. Whaley. "Predicting Stock Market Volatility: A New Measure." Journal of Futures Markets, 15(1995), pp. 265-302.
-
(1995)
Journal of Futures Markets
, vol.15
, pp. 265-302
-
-
Fleming, J.1
Ostdiek, B.2
Whaley, R.3
-
14
-
-
0039084784
-
Stock return variances: The arrival of information and the reaction of traders
-
French, K., and R. Roll. "Stock Return Variances: The Arrival of Information and the Reaction of Traders." Journal of Financial Economics, 17(1986), pp. 5-26.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 5-26
-
-
French, K.1
Roll, R.2
-
15
-
-
45949117024
-
Expected stock returns and volatility
-
French, K., G. Schwert, and R. Stambaugh. "Expected Stock Returns and Volatility." Journal of Financial Economics, 19(1987), pp. 3-29.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-29
-
-
French, K.1
Schwert, G.2
Stambaugh, R.3
-
16
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten, L., R. Jaganathan, and D. Runkle. "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance, 48(1993), pp. 1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.1
Jaganathan, R.2
Runkle, D.3
-
18
-
-
85021725682
-
The predictive power of options
-
McMillan, L. "The Predictive Power of Options." Futures, 32-34 (1996).
-
(1996)
Futures
, pp. 32-34
-
-
McMillan, L.1
-
19
-
-
0033401803
-
Nonlinear time series modeling: An introduction
-
Potter, S. "Nonlinear Time Series Modeling: An Introduction. " Journal of Economic Surveys, 13(1999), pp. 505-528.
-
(1999)
Journal of Economic Surveys
, vol.13
, pp. 505-528
-
-
Potter, S.1
-
21
-
-
0002025664
-
Stock volatility and the crash of '87
-
Schwert, G. "Stock Volatility and the Crash of '87." The Review of Financial Studies, 3(1990), pp. 77-102.
-
(1990)
The Review of Financial Studies
, vol.3
, pp. 77-102
-
-
Schwert, G.1
-
22
-
-
84977707955
-
Why does stock market volatility change over time?
-
-. "Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44(1989), pp. 1115-1154.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1154
-
-
Schwert, G.1
-
23
-
-
0035586550
-
S&P futures returns and contrary sentiment indicators
-
Simon, D., and R. Wiggins. "S&P Futures Returns and Contrary Sentiment Indicators." Journal of Futures Markets, 21(2001), pp. 447-462.
-
(2001)
Journal of Futures Markets
, vol.21
, pp. 447-462
-
-
Simon, D.1
Wiggins, R.2
|