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Modelling S&P 100 volatility: The information content of stock returns

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Author Info

  • Blair, Bevan J.
  • Poon, Ser-Huang
  • Taylor, Stephen J.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-43NWH2S-3/2/11c29682f6e7f31d78bc36fe1fc83bde
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 9 (September)
Pages: 1665-1679

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Handle: RePEc:eee:jbfina:v:25:y:2001:i:9:p:1665-1679

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Web page: http://www.elsevier.com/locate/jbf

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Cited by:
  1. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
  2. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
  3. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  4. Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.

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