Search Results - subject:"Implied Volatility"

On the curvature of the bachelier implied volatility

Alòs, Elisa; García Lorite, David - In: Risks : open access journal 13 (2025) 2, pp. 1-19

Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility …

Persistent link: https://www.econbiz.de/10015333743

Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns

Capriotti, Alessio; Muzzioli, Silvia - 2024

Persistent link: https://www.econbiz.de/10014550830

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

for the implied volatility surface of S&P500 index options data. …

Persistent link: https://www.econbiz.de/10015432682

Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

Zhang, Yi; Zhou, Long; Liu, Zhidong; Wu, Baoxiu - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10015359866

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

for the implied volatility surface of S&P500 index options data. …

Persistent link: https://www.econbiz.de/10015408437

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Hong, Changsoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 33 (2025) 2, pp. 150-167

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for … CDS portfolio analysis, when buying a portfolio with the highest increases in implied volatility and selling a portfolio … significant. Second, the cross-sectional predictive regression analysis shows that the coefficients for changes in implied …

Persistent link: https://www.econbiz.de/10015432424