Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns (Q5952024)
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scientific article; zbMATH DE number 1687593
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| English | Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns |
scientific article; zbMATH DE number 1687593 |
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Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns (English)
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6 March 2002
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high-frequency returns
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implied volatility
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stock index volatility
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forecasting
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ARCH models
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0.85708493
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0.85403717
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0.8530898
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0.8487725
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0.84826493
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