Search Results - subject:"Model-free Volatility Index"

The volatility index and volatility risk premium in China

Yue, Tian; Ruan, Xinfeng; Gehricke, Sebastian; Zhang, Jin E. - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 40-55

Persistent link: https://www.econbiz.de/10014461535

Risk-return relationship in Asian, American and European stock markets

Mittal, Ruhee; Narwal, Karam Pal; Sheera, Ved Pal - In: The Singapore economic review : journal of the Economic … 66 (2021) 5, pp. 1397-1420

Persistent link: https://www.econbiz.de/10012664116

SEA presidential address: Group connectivity and cooperation

Urbano, Amparo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 139-158

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10010317133

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

Persistent link: https://www.econbiz.de/10010333080

Financial instability and the short-term dynamics of volatility expectations

Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke - In: Applied financial economics 24 (2014) 4/6, pp. 377-395

Persistent link: https://www.econbiz.de/10010399697

The information content in a volatility index for Spain

Gonzalez-Perez, Maria; Novales, Alfonso - In: SERIEs 2 (2011) 2, pp. 185-216

Persistent link: https://www.econbiz.de/10009149769