Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility: Predicting Financial Volatility

[1]  Stephen L Taylor,et al.  Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models , 2003 .

[2]  C. Granger,et al.  Forecasting Volatility in Financial Markets: A Review , 2003 .

[3]  Wei Guan,et al.  Measuring implied volatility: Is an average better? Which average? , 2002 .

[4]  Wei Guan,et al.  Is implied volatility an informationally efficient and effective predictor of future volatility , 2002 .

[5]  Kai Li Long-Memory versus Option-Implied Volatility Predictions , 2002 .

[6]  F. Diebold,et al.  The distribution of realized stock return volatility , 2001 .

[7]  Francis X. Diebold,et al.  Modeling and Forecasting Realized Volatility , 2001 .

[8]  Stephen Taylor,et al.  Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns , 2000 .

[9]  F. Diebold,et al.  The Distribution of Realized Exchange Rate Volatility , 2000 .

[10]  T. Bollerslev,et al.  ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .

[11]  N. Prabhala,et al.  The relation between implied and realized volatility , 1998 .

[12]  Jeff Fleming The quality of market volatility forecasts implied by S&P 100 index option prices , 1998 .

[13]  Stephen L Taylor,et al.  The incremental volatility information in one million foreign exchange quotations , 1997 .

[14]  P. Robinson Log-Periodogram Regression of Time Series with Long Range Dependence , 1995 .

[15]  Philippe Jorion Predicting Volatility in the Foreign Exchange Market , 1995 .

[16]  Jeff Fleming,et al.  Predicting stock market volatility: A new measure , 1995 .

[17]  K. Kroner,et al.  Forecasting volatility in commodity markets , 1995 .

[18]  Craig M. Lewis,et al.  Forecasting Futures Market Volatility , 1993 .

[19]  Stephen Figlewski,et al.  The Informational Content of Implied Volatility , 1993 .

[20]  T. Day,et al.  Stock market volatility and the information content of stock index options , 1992 .

[21]  G. Barone-Adesi,et al.  Efficient Analytic Approximation of American Option Values , 1987 .

[22]  R. Whaley Valuation of American call options on dividend-paying stocks: Empirical tests , 1982 .

[23]  Donald P. Chiras,et al.  The information content of option prices and a test of market efficiency , 1978 .

[24]  Richard J. Rendleman,et al.  STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES , 1976 .

[25]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[26]  F. Black The pricing of commodity contracts , 1976 .