Does the option market produce superior forecasts of noise-corrected volatility measures?

Gael Margaret Martin, Andrew Reidy, Jill Dianne Wright

Research output: Contribution to journal › Article › Research › peer-review

12 Citations (Scopus)

Original language	English
Pages (from-to)	77 - 104
Number of pages	28
Journal	Journal of Applied Econometrics
Volume	24
Issue number	1
DOIs	https://doi.org/10.1002/jae.1033
Publication status	Published - 2009

Access to Document

@article{7eb8cf5364654cc4ac8bc68c55edf66a,

title = "Does the option market produce superior forecasts of noise-corrected volatility measures?",

author = "Martin, {Gael Margaret} and Andrew Reidy and Wright, {Jill Dianne}",

year = "2009",

doi = "10.1002/jae.1033",

language = "English",

volume = "24",

pages = "77 -- 104",

journal = "Journal of Applied Econometrics",

issn = "0883-7252",