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Modeling and forecasting realized volatility : getting the most out of the jump component
Clements, Adam; Liao, Yin - 2013
Persistent link: https://www.econbiz.de/10009789511
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The jump component of S&P 500 volatility and the VIX index
Becker, Ralf; Clements, Adam; McClelland, Andrew - In: Journal of banking & finance 33 (2009) 6, pp. 1033-1038
Persistent link: https://www.econbiz.de/10003841865
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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549
Persistent link: https://www.econbiz.de/10003522977
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Are combination forecasts of S&P 500 volatility statistically superior?
Becker, Ralf; Clements, Adam - In: International journal of forecasting 24 (2008) 1, pp. 122-133
Persistent link: https://www.econbiz.de/10003661257
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The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index
Clements, Adam; Liao, Yin - 2014
Persistent link: https://www.econbiz.de/10011343882
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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10012796271