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Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen - In: Applied financial economics 12 (2002) 5, pp. 319-329

Persistent link: https://www.econbiz.de/10001688802

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579

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

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of econometrics 105 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001617140

Asset price dynamics, volatility, and prediction

Taylor, Stephen; Taylor, Stephen - 2005

Persistent link: https://www.econbiz.de/10002746484

Asset Price Dynamics, Volatility, and Prediction

Taylor, Stephen - 2005

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily...

Persistent link: https://www.econbiz.de/10014488381