Search Results - subject:"VIX"

Trading activity of VIX futures and options around FOMC announcements

Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543990

ESG-firm performance nexus : evidence from an emerging economy

Biju, Ajithakumari Vijayappan Nair; Geetha, Sreelekshmi; … - In: Business strategy and the environment 34 (2025) 3, pp. 3469-3496

Persistent link: https://www.econbiz.de/10015358140

Cyber, geopolitical, and financial risks in rare earth markets : drivers of market volatility

Giol, Emilia Calefariu; Panazan, Oana; Gheorghe, Cătălin - In: Risks : open access journal 13 (2025) 3, pp. 1-27

This study examines the integrated impacts of cyberattacks, geopolitical, and financial market volatility on rare earth markets during the 2014-2024 period, using Time-Varying Parameter Vector Autoregression and wavelet analysis. By bridging critical gaps in the literature, this research...

Persistent link: https://www.econbiz.de/10015358925

The pre-FOMC announcement drift : short-lived or long-lasting? : evidence from financial and volatility markets

Ignatieva, Ekaterina; Ōhashi, Kazuhiko - In: Applied economics 57 (2025) 17, pp. 2021-2037

Persistent link: https://www.econbiz.de/10015442620

War-driven attention and cryptocurrency returns : the case of the Russia-Ukraine war

Verma, Arushi; Chakraborty, Madhumita - In: IIMB Management Review 37 (2025) 1, pp. 2-11

and negatively to the volatility index (VIX), demonstrating that investor fear during times of crisis may increase …

Persistent link: https://www.econbiz.de/10015444209

The short-run impact of investor expectations' past volatility on current predictions : the case of VIX

Dima, Bogdan; Dima, Ștefana Maria; Ioan, Roxana - In: Journal of international financial markets, … 98 (2025), pp. 1-37

Persistent link: https://www.econbiz.de/10015405665

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

selecting hyperparameters, we provide the recommended range of the hyperparameters. Using empirical data on the VIX index …

Persistent link: https://www.econbiz.de/10015333723

State-dependent Phillips Curve

Kim, Hyun Hak; Lee, Na Kyeong - In: Economies : open access journal 13 (2025) 1, pp. 1-14

We propose a state-dependent Phillips curve (PC) where the regime has changed endogenously. Using this framework, a free-standing PC is constructed. This study tests the robustness of the model, various types of inflation, slack measures, and various expectation measures. The PC is found to work...

Persistent link: https://www.econbiz.de/10015206817

Disaggregating VIX

Degiannakis, Stavros; Kafousaki, Eleftheria - 2025

Persistent link: https://www.econbiz.de/10015197246

When tails are heavy : the benefits of variance-targeted, non-Gaussian, quasi-maximum likelihood estimation of GARCH models

Prono, Todd - 2025 - This version: July 2025

Persistent link: https://www.econbiz.de/10015471286