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Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
16 references·3 citing·28 second hopsampled
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns (1999)Forecasting S&P 100 Volatility: The Incre…The distribution of realized stock return volatility (2001)The distribution of realized …The relation between implied and realized volatility (1998)The relation between implied …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Chapter 49 Arch models (1994)Chapter 49 Arch modelsThe Informational Content of Implied Volatility (1993)The Informational Content of …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …An Empirical Analysis of the Ross Recovery Theorem (2014)An Empirical Analysis of the …Implied Volatility Indices – A Review (2009)Implied Volatility Indices – …Modeling and Forecasting the VIX Index (2007)Modeling and Forecasting the …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The Behavior of Stock-Market Prices (1965)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1994Chapter 49 Arch models880 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

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642 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • Cited by

    • 2009Implied Volatility Indices – A Review35 cited
    • 2014An Empirical Analysis of the Ross Recovery Theorem33 cited
    • 2007Modeling and Forecasting the VIX Index32 cited