Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns

By B. Blair, Ser-Huang Poon, Stephen J. Taylor. 2001

692 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/75d9a805536310c4ebdd903788c2d227c0ef0ec8

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Citations in the corpus

A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006, neutral): “τ∗ j = 2 ( τ −mini{τi} maxi{τi} −mini{τi} ) − 1 (9)”
Commonality in the time-variation of stock-stock and stock-bond return comovements (2007, background): “(footnote continued) includes Gray (1996), Boudoukh et al., 1999, Ang and Bekaert (2002), Whitelaw (2000), Veronesi (1999), and CSS (2005).”
Why does the correlation between stock and bond returns vary over time? (2008, background): “In particular, due to the equal weighting of the return observations in Equation 2, the correlation estimates adjust rather slowly to 5 For additional details on implied volatility indices, see e.g. Fleming et al. (1995), Blair et al. (2001) and Graham et al. (2003). new information.”
Unsure what the future will bring? You may overindulge: Uncertainty increases the appeal of wants over shoulds (2012, neutral): “Financial uncertainty is quantified with the Chicago Board Options Exchange Volatility Index (VIX), a widely-used proxy for the implied volatility of S&P 500 Index (SPX) options (Blair et al., 2001; Traub et al. 2000; Nikkinen and Sahlström, 2004).”
Is VIX an investor fear gauge in BRIC equity markets (2012, background): “Blair et al. (2001) demonstrate that VXO contains nearly all relevant information about the future realized volatility of index returns.”
The dynamics of stochastic volatility: evidence from underlying and options markets (2003, methodology): “8 veriÿes the Novikov condition for the CEV model , although a proof for the 2GAM model is unavailable .”
Forecasting Volatility Using High-Frequency Data (2011, methodology): “GARCHX models of this type have been estimated by Blair et al. (2004), Martens (2001, 2002), Engle (2002), Barndorff-Nielsen and Shephard (2007), Barndorff-Nielsen et al. (2010), amongst others.”
Practical Issues in the Analysis of Univariate GARCH Models (2009, background): “Variables that have been shown to help predict volatility are trading volume, macroeconomic news announcements ([58], [43], [17]), implied volatility from option prices and realized volatility ([82], [11]), overnight returns ([46], [68]), and after hours realized volatility ([21])”
Stock Market Uncertainty and the Stock-Bond Return Relation (2005, background): “Recent studies find that the information in implied volatility largely subsumes the volatility information from historical return shocks (Blair, Poon, and Taylor (2001), Christensen and Prabhala (1998), Fleming (1998), and Mayhew and Stivers (2003)).”
Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models (2004, result): “The standard deviation, range, skewness and kurtosis coefficients of the one-month implied volatilities are higher than those of the threemonth implied volatilities, consistent with the studies of Xu and Taylor (1994) and Campa and Chang (1995). Many previous studies find that equity implied volatil”