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• David Ardia

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12983.

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Date of creation: 2003
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Handle: RePEc:pra:mprapa:12983

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Related research

Keywords: VIX; trading strategy;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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1. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November. [Downloadable!] (restricted)
2. Ser-Huang Poon & Clive W. J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
3. GIOT, Pierre, 2002. "Implied volatility indices as leading indicators of stock index returns ?," CORE Discussion Papers 2002050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
4. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility1," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November. [Downloadable!] (restricted)
5. Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 659-81. [Downloadable!] (restricted)

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This page was last updated on 2010-1-6.