The realized volatility of FTSE‐100 futures prices
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005.
"Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements,"
Journal of Empirical Finance,
Elsevier, vol. 12(3), pages 445-475, June.
- Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004. "Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements," Computing in Economics and Finance 2004 342, Society for Computational Economics.
- Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
- Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute.
- Ozcan Ceylan, 2015.
"Limited information-processing capacity and asymmetric stock correlations,"
Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
- Ceylan, Ozcan, 2010. "Limited Information-Processing Capacity and Asymmetric Stock Correlations," MPRA Paper 61587, University Library of Munich, Germany.
- Renò, Roberto & Rizza, Rosario, 2003. "Is volatility lognormal? Evidence from Italian futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 620-628.
- Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011. "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1247-1256.
- repec:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3 is not listed on IDEAS
- Chen Xilong & Ghysels Eric & Wang Fangfang, 2011. "HYBRID GARCH Models and Intra-Daily Return Periodicity," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
- R. P. Brito & H. Sebastião & P. Godinho, 2017.
"Portfolio choice with high frequency data: CRRA preferences and the liquidity effect,"
Portuguese Economic Journal,
Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers 2016-13, GEMF, Faculty of Economics, University of Coimbra.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017.
"The contribution of jumps to forecasting the density of returns,"
Documents de travail du Centre d'Economie de la Sorbonne
17006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
- Michiel Pooter & Martin Martens & Dick Dijk, 2008.
"Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?,"
Taylor & Francis Journals, vol. 27(1-3), pages 199-229.
- Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
- repec:sbe:breart:v:35:y:2015:i:1:a:21453 is not listed on IDEAS
- Ahmad Sarlak & Zahra Talei, 2016. "Impact of High-Frequency Trading on the Stock Returns of Large and Small Companies in the Tehran Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 216-228, April.
- Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
- repec:spr:elmark:v:27:y:2017:i:3:d:10.1007_s12525-017-0254-5 is not listed on IDEAS
- Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:22:y:2002:i:7:p:627-648. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery) or (). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.