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

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Publication date2010
Host publicationHandbook of Quantitative Finance and Risk Management
EditorsCheng-Few Lee, Alice C. Lee, John Lee
Place of PublicationBerlin
PublisherSpringer
Pages1333-1344
Number of pages12
ISBN (Print)9780387771168
Original languageEnglish