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Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
1999
Bevan Blair
Ser-Huang Poon
Stephen L. Taylor
Keywords:
Econometrics
Volatility (finance)
Economics
Indexation
Implied volatility
Correction
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