The information content in a volatility index for Spain
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Bibliographic InfoArticle provided by Spanish Economic Association in its journal SERIEs.
Volume (Year): 2 (2011)
Issue (Month): 2 (June)
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Postal: Universidad del País Vasco; DFAE II; Avenida Lehendakari Aguirre, 83; 48015 Bilbao; Spain
Phone: +34 94 6013783
Fax: + 34 94 6013774
Web page: http://www.springer.com/economics/journal/13209
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Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
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"Expected stock returns and variance risk premia,"
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- Becker, Ralf & Clements, Adam E. & White, Scott I., 2007. "Does implied volatility provide any information beyond that captured in model-based volatility forecasts?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2535-2549, August.
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- Torben G. Andersen & Oleg Bondarenko, 2007.
"Construction and Interpretation of Model-Free Implied Volatility,"
CREATES Research Papers
2007-24, School of Economics and Management, University of Aarhus.
- Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc.
- Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
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