Concepedia

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

SSRN Electronic Journal · 1999 · 50 citations · 33 references

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References

33

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

, , +12

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

, , +16