Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns

Blair, B. J., Poon, S.-H., & Taylor, S. J. (2010). Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns. In Handbook of Quantitative Finance and Risk Management (pp. 1333–1344). Springer US. https://doi.org/10.1007/978-0-387-77117-5_88