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FORECASTING VOLATILITY FOR PORTFOLIO SELECTION
16 references·6 citing·36 second hop
FORECASTING VOLATILITY FOR PORTFOLIO SELECTION (1996)FORECASTING VOLATILITY FOR PORTFOLIO SELE…Theory of rational option pricing (2005)Theory of rational option pri…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…ARCH modeling in finance (1992)ARCH modeling in financeCombining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…The information content of option prices and a test of market efficiency (1978)The information content of op…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Option pricing (1976)Option pricingFact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Experience with Forecasting Univariate Time Series and the Combination of Forecasts (1974)Experience with Forecasting U…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Portfolio Selection: Efficient Diversification of Investments. (1960)Portfolio Selection: Efficien…Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options (2012)Predicting volatility using t…The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks (2011)The Realised–Implied Volatili…Volatility modelling and forecasting in finance (2007)Volatility modelling and fore…Forecasting Volatility:Evidence from the German Stock Market (2001)Forecasting Volatility:Eviden…Volatility Forecasting and the Efficiency of the Toronto 35 Index Options Market (1998)Volatility Forecasting and th…Forecasting index volatility: sampling interval and non-trading effects (1998)Forecasting index volatility:…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Handbook of Economic Forecasting (2013)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1974Experience with Forecasting Univariate Time Series and the Combination of Forecasts849 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1960Portfolio Selection: Efficient Diversification of Investments.582 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1976

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Option pricing
473 cited

Cited by

  • 1998Forecasting index volatility: sampling interval and non-trading effects39 cited
  • 2001Forecasting Volatility:Evidence from the German Stock Market35 cited
  • 2012Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options24 cited
  • 2011The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks23 cited
  • 2007Volatility modelling and forecasting in finance21 cited
  • 1998Volatility Forecasting and the Efficiency of the Toronto 35 Index Options Market20 cited