Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
| Year of publication: |
2005
|
|---|---|
| Authors: | Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie |
| Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 12.2005, 3, p. 445-475
|
| Publisher: |
Elsevier |