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

Accounting and Finance

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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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.
In: Journal of Econometrics, Vol. 105, No. 1, 2001, p. 5-26.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Bibtex

@article{a9235b39d3c54737995a90b95d4d69ed,

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 = "2001",

language = "English",

volume = "105",

pages = "5--26",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier BV",

number = "1",

}

RIS

TY - JOUR

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 - 2001

Y1 - 2001

M3 - Journal article

VL - 105

SP - 5

EP - 26

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

Research