Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not already captured by historical information....

This paper examines the information available through leading indicators for modelling and forecasting the UK quarterly index of production (seasonally adjusted). The emphasis is on one-quarter ahead prediction, especially over the 1990s recession. Linear specifications considered are univariate...