Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements

Siem Jan Koopman (), Borus Jungbacker and Eugenie Hol

Journal of Empirical Finance, 2005, vol. 12, issue 3, pages 445-475

Date: 2005
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Related works:
Working Paper: Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements (2004)
Working Paper: Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475

Journal of Empirical Finance is edited by R. T. Baillie, G. Bekaert, W. Ferson, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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