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Forecasting Volatility and Option Prices of the S&P 500 Index
16 references·16 citing·29 second hopsampled
Forecasting Volatility and Option Prices of the S&P 500 Index (1994)Forecasting Volatility and Option Prices …The Informational Content of Implied Volatility (1993)The Informational Content of …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsSemiparametric ARCH Models (1991)Semiparametric ARCH ModelsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Volatility persistence and stock valuations: Some empirical evidence using garch (1988)Volatility persistence and st…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Inflation and the Stock Market (1978)Inflation and the Stock MarketMarginal likelihood for Markov-switching and change-point GARCH models (2013)Marginal likelihood for Marko…Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach (2010)Financial volatility trading …Volatility forecasting: Intra-day versus inter-day models (2007)Volatility forecasting: Intra…Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface* (2006)Predictable Dynamics in the S…Forecasting volatility (2006)Forecasting volatilityAutoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004)Autoregressive Conditional He…Stock return dynamics, option volume, and the information content of implied volatility (2003)Stock return dynamics, option…Forecasting stock market volatility and the informational efficiency of the DAX-index options market (2002)Forecasting stock market vola…Bayesian option pricing using asymmetric GARCH models (2002)Bayesian option pricing using…Financial volatility trading using recurrent neural networks (2001)Financial volatility trading …Full Bayesian Inference for GARCH and EGARCH Models (2000)Full Bayesian Inference for G…Forecasting time-dependent conditional densities: a semi non-parametric neural network approach (2000)Forecasting time-dependent co…How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market (1998)How important is the correlat…Evaluating Forecasts of Correlation Using Option Pricing (1998)Evaluating Forecasts of Corre…Volatility estimation for stock index options: A GARCH approach (1996)Volatility estimation for sto…Implied Volatility (1995)Implied VolatilitySpecification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Econometric Analysis of Cross Section and Panel Data (2001)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1992No news is good news1,929 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1988Volatility persistence and stock valuations: Some empirical evidence using garch519 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1991Semiparametric ARCH Models

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482 cited
  • 1978Inflation and the Stock Market330 cited
  • Cited by

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    • 2013Marginal likelihood for Markov-switching and change-point GARCH models96 cited
    • 1998How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market94 cited
    • 1996Volatility estimation for stock index options: A GARCH approach76 cited
    • 2007Volatility forecasting: Intra-day versus inter-day models69 cited
    • 2002Bayesian option pricing using asymmetric GARCH models62 cited
    • 1998Evaluating Forecasts of Correlation Using Option Pricing61 cited
    • 2010Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach57 cited
    • 2006Forecasting volatility56 cited
    • 2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market56 cited
    • 2003Stock return dynamics, option volume, and the information content of implied volatility52 cited
    • 2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited
    • 2000Forecasting time-dependent conditional densities: a semi non-parametric neural network approach48 cited