Concepedia

High-frequency Implied Volatility

High-Frequency Implied Volatility is a volatility estimation framework that belongs to the class of implied volatility measures and is distinguished by its derivation from high-frequency options or underlying asset price data to capture intraday market dynamics and refine volatility forecasts with greater temporal precision.

28

Publications

2.1K

Citations

67

Authors

65

Institutions

Publications per year

2017–2026

9

Parents

Publications

28

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

Bevan Blair, Ser‐Huang Poon, Stephen J. Taylor · Journal of Econometrics · 2001 · 617 citations

, , +17

The incremental volatility information in one million foreign exchange quotations

Stephen J. Taylor, Xinzhong Xu · Journal of Empirical Finance · 1997 · 366 citations

, , +17

High frequency volatility co-movements in cryptocurrency markets

Paraskevi Katsiampa, Shaen Corbet, Brian M. Lucey · Journal of International Financial Markets Institutions and Money · 2019 · 273 citations · Full text

, , +14

The Dynamics of the S&P 500 Implied Volatility Surface

George Skiadopoulos, Stewart D. Hodges, Les Clewlow · Review of Derivatives Research · 2000 · 137 citations

, , +14

S&P 500 implied volatility and monetary policy announcements

En-Te Chen, Adam Clements · Finance research letters · 2007 · 98 citations

, , +14

1–5 of 28

Authors

67

  1. SJ
    Stephen J. Taylor

    Lancaster University, United Kingdom

    5 publications · 1.1K citations

    5

    h-index

  2. SP
    Ser‐Huang Poon

    University of Manchester, United Kingdom

    2 publications · 667 citations

    2

    h-index

  3. BB
    Bevan Blair

    Lancaster University, United Kingdom

    2 publications · 667 citations

    2

    h-index

  4. JF
    Jianqing Fan

    Princeton University, United States

    2 publications · 33 citations

    2

    h-index

  5. MB
    Michael B. Imerman

    Lehigh University, United States

    2 publications · 33 citations

    2

    h-index

1–5 of 67

Institutions

65

  1. Lancaster University

    Lancaster, United Kingdom

    5 h-index

    8 publications

    1.2K citations

  2. University of Manchester

    Manchester, United Kingdom

    3 h-index

    3 publications

    443 citations

  3. Trinity College Dublin

    Dublin, Ireland

    2 h-index

    2 publications

    293 citations

  4. University of Nottingham

    Nottingham, United Kingdom

    2 h-index

    2 publications

    59 citations

  5. Dublin City University

    Dublin, Ireland

    2 h-index

    3 publications

    313 citations

  6. Princeton University

    Princeton, United States

    2 h-index

    4 publications

    66 citations

  7. The Alan Turing Institute

    London, United Kingdom

    1 h-index

    1 publications

    50 citations

  8. Northwestern University

    Evanston, United States

    1 h-index

    2 publications

    54 citations

1–8 of 65

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 101 citations

    3

    h-index

  2. Journal of Econometrics

    3 publications · 721 citations

    3

    h-index

  3. Annals of Operations Research

    1 publications · 34 citations

    1

    h-index

  4. The Journal of Portfolio Management

    JPM · 1 publications · 12 citations

    1

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 1 publications · 22 citations

    1

    h-index

1–5