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

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Published

Standard

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. / Blair, B J; Poon, S; Taylor, S J.
Handbook of Quantitative Finance and Risk Management. ed. / Cheng-Few Lee; Alice C. Lee; John Lee. Berlin: Springer, 2010. p. 1333-1344.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Blair, BJ, Poon, S & Taylor, SJ 2010, Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. in C-F Lee, AC Lee & J Lee (eds), Handbook of Quantitative Finance and Risk Management. Springer, Berlin, pp. 1333-1344.

APA

Blair, B. J., Poon, S., & Taylor, S. J. (2010). Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. In C.-F. Lee, A. C. Lee, & J. Lee (Eds.), Handbook of Quantitative Finance and Risk Management (pp. 1333-1344). Springer.

Vancouver

Blair BJ, Poon S, Taylor SJ. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. In Lee CF, Lee AC, Lee J, editors, Handbook of Quantitative Finance and Risk Management. Berlin: Springer. 2010. p. 1333-1344

Author

Blair, B J ; Poon, S ; Taylor, S J. / Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. Handbook of Quantitative Finance and Risk Management. editor / Cheng-Few Lee ; Alice C. Lee ; John Lee. Berlin : Springer, 2010. pp. 1333-1344

Bibtex

@inbook{a1f2a5ad3e4545d1adcc6ed0d0e5d998,
title = "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns",
author = "Blair, {B J} and S Poon and Taylor, {S J}",
year = "2010",
language = "English",
isbn = "9780387771168",
pages = "1333--1344",
editor = "Cheng-Few Lee and Lee, {Alice C.} and John Lee",
booktitle = "Handbook of Quantitative Finance and Risk Management",
publisher = "Springer",

}

RIS

TY - CHAP

T1 - Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns

AU - Blair, B J

AU - Poon, S

AU - Taylor, S J

PY - 2010

Y1 - 2010

M3 - Chapter

SN - 9780387771168

SP - 1333

EP - 1344

BT - Handbook of Quantitative Finance and Risk Management

A2 - Lee, Cheng-Few

A2 - Lee, Alice C.

A2 - Lee, John

PB - Springer

CY - Berlin

ER -