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00-104/4 - Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility


  • Authors
    Eugenie Hol, University of Birmingham; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    November 21, 2000
  • Keywords
    Forecasting; Implied Volatility; Monte Carlo likelihood method; Stochastic volatility; Stock indice