Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
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Publication:5952024
DOI10.1016/S0304-4076(01)00068-9zbMath0980.62097OpenAlexW3123653015MaRDI QIDQ5952024
Ser-Huang Poon, Stephen J. Taylor, Bevan J. Blair
Publication date: 6 March 2002
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00068-9
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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