{"id":"https://openalex.org/W2017480909","doi":"https://doi.org/10.2139/ssrn.182128","title":"Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns","display_name":"Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns","publication_year":1999,"publication_date":"1999-01-01","ids":{"openalex":"https://openalex.org/W2017480909","doi":"https://doi.org/10.2139/ssrn.182128","mag":"2017480909"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.182128","doi":"https://doi.org/10.2139/ssrn.182128","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.182128","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.182128","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082018244","display_name":"Bevan J. Blair","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Bevan Blair","raw_affiliation_strings":["Ingenious, London, W1F 9JG, United Kingdom","Ingenious"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ingenious, London, W1F 9JG, United Kingdom","institution_ids":[]},{"raw_affiliation_string":"Ingenious","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5017515962","display_name":"Ser\u2010Huang Poon","orcid":"https://orcid.org/0000-0002-7297-9401","observed_orcids":["https://orcid.org/0000-0002-7297-9401"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]},{"id":"https://openalex.org/I4210128584","display_name":"The Alan Turing Institute","ror":"https://ror.org/035dkdb55","country_code":"GB","type":"facility","lineage":["https://openalex.org/I4210128584"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Ser-Huang Poon","raw_affiliation_strings":["Alan Turing Institute, British Library, 96 Euston Road, 96 Euston Road, London, NW12DB, United Kingdom","Alliance Manchester Business School, University of Manchester, Alliance Manchester Business School, Booth Street West, Manchester, Manchester M15 6PB, United Kingdom","Alan Turing Institute","Alliance Manchester Business School, University of Manchester"],"raw_orcid":"https://orcid.org/0000-0002-7297-9401","affiliations":[{"raw_affiliation_string":"Alan Turing Institute, British Library, 96 Euston Road, 96 Euston Road, London, NW12DB, United Kingdom","institution_ids":["https://openalex.org/I4210128584"]},{"raw_affiliation_string":"Alliance Manchester Business School, University of Manchester, Alliance Manchester Business School, Booth Street West, Manchester, Manchester M15 6PB, United Kingdom","institution_ids":["https://openalex.org/I28407311"]},{"raw_affiliation_string":"Alan Turing Institute","institution_ids":["https://openalex.org/I4210128584"]},{"raw_affiliation_string":"Alliance Manchester Business School, University of Manchester","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5033985123","display_name":"Stephen J. Taylor","orcid":"https://orcid.org/0000-0003-3936-1105","observed_orcids":["https://orcid.org/0000-0003-3936-1105"]},"institutions":[{"id":"https://openalex.org/I67415387","display_name":"Lancaster University","ror":"https://ror.org/04f2nsd36","country_code":"GB","type":"education","lineage":["https://openalex.org/I67415387"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Stephen J. Taylor","raw_affiliation_strings":["Lancaster University - Department of Accounting and Finance, The Management School, Lancaster LA1 4YX, United Kingdom","Lancaster University - Department of Accounting and Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lancaster University - Department of Accounting and Finance, The Management School, Lancaster LA1 4YX, United Kingdom","institution_ids":["https://openalex.org/I67415387"]},{"raw_affiliation_string":"Lancaster University - Department of Accounting and Finance","institution_ids":["https://openalex.org/I67415387"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5033985123"],"corresponding_institution_ids":["https://openalex.org/I67415387"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":40,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/s-p-100-index","display_name":"S&P 100 index","score":0.8220000267028809},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9599999785423279},{"id":"https://openalex.org/keywords/vix-index","display_name":"VIX index","score":0.9660000205039978},{"id":"https://openalex.org/keywords/high-frequency-returns","display_name":"high-frequency returns","score":0.7350000143051147},{"id":"https://openalex.org/keywords/realized-volatility","display_name":"realized volatility","score":0.9279999732971191},{"id":"https://openalex.org/keywords/incremental-information-content","display_name":"incremental information content","score":0.8180000185966492},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8299999833106995},{"id":"https://openalex.org/keywords/arch-models","display_name":"ARCH models","score":0.7940000295639038}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6796981692314148},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6241257190704346},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4669051766395569},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4665619432926178},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46461451053619385},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3860973119735718},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.13700738549232483},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.182128","doi":"https://doi.org/10.2139/ssrn.182128","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.182128","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.182128","doi":"https://doi.org/10.2139/ssrn.182128","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.182128","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","score":0.4399999976158142,"id":"https://metadata.un.org/sdg/8"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1576326745","https://openalex.org/W1589704695","https://openalex.org/W1594842258","https://openalex.org/W1600080087","https://openalex.org/W1607221001","https://openalex.org/W1963570115","https://openalex.org/W1963787328","https://openalex.org/W1963955834","https://openalex.org/W1969494027","https://openalex.org/W1973843144","https://openalex.org/W1983056091","https://openalex.org/W1985165919","https://openalex.org/W1999029409","https://openalex.org/W1999814123","https://openalex.org/W2002497463","https://openalex.org/W2003626215","https://openalex.org/W2007246912","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2063806736","https://openalex.org/W2068138154","https://openalex.org/W2070862805","https://openalex.org/W2074567665","https://openalex.org/W2092729734","https://openalex.org/W2120925732","https://openalex.org/W2124733492","https://openalex.org/W2148338846","https://openalex.org/W2148548869","https://openalex.org/W2152804254","https://openalex.org/W2170859022","https://openalex.org/W3122232609","https://openalex.org/W3122295992","https://openalex.org/W3123267849","https://openalex.org/W4232115882","https://openalex.org/W4232895515","https://openalex.org/W4241117240"],"related_works":["https://openalex.org/W3123232630","https://openalex.org/W2011649405","https://openalex.org/W1671049371","https://openalex.org/W1517762882","https://openalex.org/W3124026849","https://openalex.org/W7019320661","https://openalex.org/W7099307459","https://openalex.org/W3122293068","https://openalex.org/W1704622963","https://openalex.org/W3043726514"],"abstract_inverted_index":null,"counts_by_year":[{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}