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Predicting stock market volatility : a new measure

Fleming, Jeff - In: The journal of futures markets 15 (1995) 3, pp. 265-302

Persistent link: https://www.econbiz.de/10001180182

The specification of GARCH models with stochastic covariates

Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934

Persistent link: https://www.econbiz.de/10003769888

The quality of market volatility forecasts implied by S&P 100 index option prices

Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345

Persistent link: https://www.econbiz.de/10001375188

Intraday price observations : on computing portfolio returns

Whaley, Robert E. - In: Review of futures markets 12 (1994) 1, pp. 175-190

Persistent link: https://www.econbiz.de/10001183623

Safe Minus Risky : Do Investors Pay a Premium for Stocks that Hedge Stock Market Downturns?

Kapadia, Nishad - 2015

Stocks that hedge against sustained market downturns — periods from peak to trough in S&P500 levels at the business cycle frequency — should have low expected returns, but they do not. We use ex-ante firm characteristics and covariances to construct a tradeable Safe Minus Risky (SMR)...

Persistent link: https://www.econbiz.de/10013019759