Predicting stock market volatility: A new measure
- 1 May 1995
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 15 (3) , 265-302
- https://doi.org/10.1002/fut.3990150303
Abstract
No abstract availableKeywords
This publication has 30 references indexed in Scilit:
- Dividends and S&P 100 index option valuationJournal of Futures Markets, 1992
- Stock Price Distributions with Stochastic Volatility: An Analytic ApproachThe Review of Financial Studies, 1991
- Expiration-Day Effects: What Has Changed?CFA Magazine, 1991
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- Program Trading and Expiration-Day EffectsCFA Magazine, 1987
- Stock return variancesJournal of Financial Economics, 1986
- An Investigation of Transactions Data for NYSE StocksThe Journal of Finance, 1985
- An Index of Listed Option PremiumsCFA Magazine, 1977
- Theory of Rational Option PricingThe Bell Journal of Economics and Management Science, 1973
- CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*The Journal of Finance, 1964