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A test of two models in forecasting stock index futures price volatility

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  • W. L. Randolph
  • Mohammad Najand

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  • W. L. Randolph & Mohammad Najand, 1991. "A test of two models in forecasting stock index futures price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 179-190, April.
    • Handle: RePEc:wly:jfutmk:v:11:y:1991:i:2:p:179-190
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    Cited by:

    1. Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
    2. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

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