Are combination forecasts of S&P 500 volatility statistically superior?

References

Andersen, T.G., and Bollerslev, T., and Diebold, F.X., and Labys, P. (1999)
“(Understanding, optimizing, using and forecasting) Realized Volatility and
Correlation.” Working Paper, University of Pennsylvania.

Andersen T.G., Bollerslev T., Diebold F.X. and Labys P. (2001). “The distri-
bution of exchange rate volatility.” Journal of the American Statistical Asso-
ciation 96, 42-55.

Andersen T.G., Bollerslev T., Diebold F.X. and Labys P. (2003). “Modeling
and forecasting realized volatility.” Econometrica 71, 579-625.

Blair B.J., Poon S-H. and Taylor S.J. (2001). “Forecasting SVP 100 volatility:
the incremental information content of implied volatilities and high-frequency
index returns.” Journal of Econometrics 105, 5-26.

Becker, R.and Clements, A. and White, S. (2006) “Does implied volatility
provide any information beyond that captured in model-based volatility fore-
casts?”, forthcoming in Journal of Banking and Finance.

Bollesrlev T., M. Gibson and H. Zhou (2006). Dynamic Estimation of Volatility
Risk Premia and Investor Risk Aversion from Option-Implied and Realized
Volatilities. unpublished manuscript, Duke University.

Campbell, J.Y. and Lo, A.W. and MacKinlay, A.G. (1997). The Econometrics
of Financial Markets. Princeton University Press, Princeton NJ.

25

<<   23   24   25   26   27   28   >>

More intriguing information