Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

S.J. Koopman, E. Hol Uspensky

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages25
Publication statusPublished - 2000

Publication series

NameTI Discussion Paper
No.00-04/4

Cite this

Koopman, S. J., & Hol Uspensky, E. (2000). Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (TI Discussion Paper; No. 00-04/4). Amsterdam: Tinbergen Institute.
Koopman, S.J. ; Hol Uspensky, E. / Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. Amsterdam : Tinbergen Institute, 2000. (TI Discussion Paper; 00-04/4).
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Koopman, SJ & Hol Uspensky, E 2000 'Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility' TI Discussion Paper, no. 00-04/4, Tinbergen Institute, Amsterdam.

Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. / Koopman, S.J.; Hol Uspensky, E.

Amsterdam : Tinbergen Institute, 2000. (TI Discussion Paper; No. 00-04/4).

Research output: Working paperProfessional

TY - UNPB

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AU - Koopman, S.J.

AU - Hol Uspensky, E.

PY - 2000

Y1 - 2000

M3 - Working paper

T3 - TI Discussion Paper

BT - Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

PB - Tinbergen Institute

CY - Amsterdam

ER -

Koopman SJ, Hol Uspensky E. Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. Amsterdam: Tinbergen Institute. 2000. (TI Discussion Paper; 00-04/4).