Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff
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- Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
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KeywordsTRADE ; EXPECTATIONS ; FORECASTS;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- F1 - International Economics - - Trade
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