• Title of article

    Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements

  • Author/Authors

    Siem Jan Koopman، نويسنده , , Borus Jungbacker، نويسنده , , Eugenie Hol، نويسنده ,

  • Issue Information
    دوماهنامه با شماره پیاپی سال 2005
  • Pages
    31
  • From page
    445
  • To page
    475
  • Keywords
    Unobserved components , Generalised autoregressive conditional heteroskedasticity model , Long memory model , Realisedvolatility , Stochastic volatility model , Superior predictive ability
  • Journal title
    Journal of Empirical Finance
  • Serial Year
    2005
  • Journal title
    Journal of Empirical Finance
  • Record number

    130807

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=130807