Research graph
References from Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. Local targets link to admitted publications; unresolved targets remain external evidence.
Conditional heteroskedasticity in time series of stock returns: evidence and forecasts
10.1086/296451 · 1989 · External reference
Answering the skeptics: yes standard volatility models do provide accurate forecasts
10.2307/2527343 · 1998 · External reference
The distribution of realized stock return volatility
10.1016/s0304-405x(01)00055-1 · 2001 · External reference
The distribution of exchange rate volatility
10.1198/016214501750332965 · 2001 · External reference
ARCH models: properties, estimation and testing
10.1111/j.1467-6419.1993.tb00170.x · 1993 · External reference
Unresolved reference
External reference
Modelling S&P 100 volatility: the information content of stock returns
10.1016/s0378-4266(00)00157-6 · 2001 · External reference
A conditional heteroskedastic time series model for speculative prices and rates of returns
10.2307/1925546 · 1987 · External reference
ARCH modeling in finance: a review of theory and empirical evidence
10.1016/0304-4076(92)90064-x · 1992 · External reference
10.1016/s1573-4412(05)80018-2
10.1016/s1573-4412(05)80018-2 · External reference
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
10.1080/07474939208800229 · 1992 · External reference
An evaluation of volatility forecasting techniques
10.1016/0378-4266(95)00015-1 · 1996 · External reference
The informational content of implied volatility
10.1093/rfs/6.3.659 · 1993 · External reference
The information content of option prices and a test for market efficiency
10.1016/0304-405x(78)90030-2 · 1978 · External reference
The relation between implied and realized volatility
10.1016/s0304-405x(98)00034-8 · 1998 · External reference
Stock market volatility and the informational content of stock index options
10.1016/0304-4076(92)90073-z · 1992 · External reference
Volatility forecasting without data-snooping
10.1016/0378-4266(90)90056-8 · 1990 · External reference
Unresolved reference
External reference
Forecasting volatility. Financial Markets
10.1111/1468-0416.00009 · 1997 · External reference
The quality of market volatility forecasts implied by S&P 100 index option prices
10.1016/s0927-5398(98)00002-4 · 1998 · External reference
Predicting stock market volatility: a new measure
10.1002/fut.3990150303 · 1995 · External reference
Forecasting stock market volatility using (non-linear) GARCH models
10.1002/(sici)1099-131x(199604)15:3<229::aid-for620>3.0.co;2-3 · 1995 · External reference
On the relation between the expected value and the volatility of the nominal excess return on stocks
10.2307/2329067 · 1993 · External reference
Dividends and S&P 100 index options
10.1002/fut.3990120202 · 1992 · External reference
Volatility prediction: a comparison of stochastic volatility, GARCH(1,1) and EGARCH(1,1) models
10.3905/jod.1994.407912 · 1994 · External reference
Predicting volatility in the foreign exchange market
10.2307/2329417 · 1995 · External reference
Standard deviations of stock price ratios implied in option prices
10.2307/2326608 · 1976 · External reference
Conditional heteroskedasticity in asset returns: a new approach
10.2307/2938260 · 1991 · External reference
Filtering and forecasting with misspecified ARCH models I: getting the right variance with the wrong model
10.1016/0304-4076(92)90065-y · 1992 · External reference
Filtering and forecasting with misspecified ARCH models II: making the right forecast with the wrong model
10.1016/0304-4076(94)01635-d · 1995 · External reference
The incremental volatility information in one million foreign exchange quotations
10.1016/s0927-5398(97)00010-8 · 1997 · External reference
10.1016/s0304-4076(01)00078-1
10.1016/s0304-4076(01)00078-1 · External reference
Conditional volatility and the informational efficiency of the PHLX currency options markets
10.1016/0378-4266(95)00086-v · 1995 · External reference
