Forecasting the volatility of asset returns: the informational gains from option prices

Martin, Vance L., Tang, Chrismin and Yao, Wenying 2021, Forecasting the volatility of asset returns: the informational gains from option prices, International journal of forecasting, vol. 37, no. 2, April-June, pp. 862-880, doi: 10.1016/j.ijforecast.2020.09.012.

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Title Forecasting the volatility of asset returns: the informational gains from option prices
Author(s) Martin, Vance L.
Tang, Chrismin
Yao, WenyingORCID iD for Yao, Wenying orcid.org/0000-0001-6368-0160
Journal name International journal of forecasting
Volume number 37
Issue number 2
Season April-June
Start page 862
End page 880
Total pages 19
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2021-04
ISSN 0169-2070
Keyword(s) Realized GARCH
VIX
Leverage effect
Volatility forecasting
S&P 500 index
Language eng
DOI 10.1016/j.ijforecast.2020.09.012
Indigenous content off
Field of Research 0104 Statistics
1403 Econometrics
1505 Marketing
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30145586

Document type: Journal Article
Collections: Faculty of Business and Law
School of Economics
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