VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION‐IMPLIED VOLATILITY TRADE‐OFF
- 25 October 2005
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 28 (4), 519-538
- https://doi.org/10.1111/j.1475-6803.2005.00137.x
Abstract
No abstract availableThis publication has 20 references indexed in Scilit:
- The Investor Fear GaugeThe Journal of Portfolio Management, 2000
- Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume RelationThe Journal of Finance, 1994
- Forecasting Futures Market VolatilityThe Journal of Derivatives, 1993
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992
- Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica, 1991
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixEconometrica, 1987
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Large Sample Properties of Generalized Method of Moments EstimatorsEconometrica, 1982
- On a measure of lack of fit in time series modelsBiometrika, 1978
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973