Modelling S&P 100 volatility: The information content of stock returns
- 1 September 2001
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 25 (9) , 1665-1679
- https://doi.org/10.1016/s0378-4266(00)00157-6
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- The quality of market volatility forecasts implied by S&P 100 index option pricesJournal of Empirical Finance, 1998
- Public Information ArrivalThe Journal of Finance, 1994
- Chapter 49 Arch modelsPublished by Elsevier ,1994
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance, 1993
- How Markets Process Information: News Releases and VolatilityThe Journal of Finance, 1993
- Stock market volatility and the information content of stock index optionsJournal of Econometrics, 1992
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Stock return variancesJournal of Financial Economics, 1986
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986