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  • Search: subject:"VIX futures"
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Year of publication
Subject
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VIX futures 79 Volatilität 64 Volatility 63 Index futures 50 Index-Futures 50 Derivat 36 Derivative 36 Option trading 24 Optionsgeschäft 24 Börsenkurs 22 Share price 22 Option pricing theory 21 Optionspreistheorie 21 VIX 17 Hedging 14 Basel Accord 13 Value-at-Risk 12 Portfolio-Management 11 Stochastic process 11 Stochastischer Prozess 11 Futures 10 Portfolio selection 10 VIX Futures 10 VIX options 10 Median strategy 9 Risikoprämie 9 Risk premium 9 Yield curve 9 Zinsstruktur 9 Forecasting model 8 Index 8 Index number 8 Prognoseverfahren 8 daily capital charges 8 violation penalties 8 BRICS 7 aggressive risk management 7 conservative risk management 7 Aktienindex 6 Currency hedging strategies 6
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Online availability
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Undetermined 57 Free 36
Type of publication
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Article 74 Book / Working Paper 30
Type of publication (narrower categories)
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Article in journal 64 Aufsatz in Zeitschrift 64 Working Paper 11 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article 2 Aufsatz im Buch 1 Book section 1 research-article 1
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Language
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English 85 Undetermined 19
Author
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Chang, Chia-Lin 18 McAleer, Michael 18 Jiménez-Martín, Juan-Ángel 6 Pérez-Amaral, Teodosio 6 Allen, David E. 5 Zhang, Jin E. 5 Amaral, Teodosio Perez 4 Amaral, Teodosio Pérez 4 Casarin, Roberto 4 Van Tassel, Peter 4 Alexander, Carol 3 Avellaneda, Marco 3 Daigler, Robert T. 3 Jimenez-Martin, Juan Angel Jimenez Martin 3 Korovilas, Dimitris 3 Lee, Hsiu-chuan 3 Papanicolaou, Andrew 3 Tsai, Wei-Che 3 Wang, Tianyi 3 Yang, J. Jimmy 3 Baek, Jae-Seung 2 Chen, Yu-Lun 2 Drimus, Gabriel 2 Eraker, Bjørn 2 Farkas, Walter 2 Fassas, Athanasios P. 2 Gehricke, Sebastian A. 2 Hourvouliades, Nikolas 2 Huang, Hong-Gia 2 Huang, Zhuo 2 Jiang, Gongyue 2 Jimenez-Martin, Jimenez-Martin, J-A. 2 Johnson, Travis L. 2 Kim, Jihun 2 Lien, Da-hsiang Donald 2 Lin, Yueh-neng 2 Maasoumi, Esfandiar 2 Perez-Amaral, Perez-Amaral, T. 2 Poon, Ser-Huang 2 Pérez Amaral, Teodosio 2
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 4 Department of Economics and Finance, College of Business and Economics 3 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Institute of Economic Research, Kyoto University 3 Henley Business School, University of Reading 2 Department of Econometrics and Business Statistics, Monash Business School 1 Tinbergen Instituut 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Published in...
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The journal of futures markets 13 Journal of empirical finance 5 Documentos de Trabajo del ICAE 4 Journal of banking & finance 4 Econometric Institute Research Papers 3 International review of economics & finance : IREF 3 Journal of econometrics 3 KIER Working Papers 3 The North American journal of economics and finance : a journal of financial economics studies 3 Working Papers in Economics 3 Applied economics 2 Applied mathematical finance 2 ICMA Centre Discussion Papers in Finance 2 International journal of forecasting 2 Journal of financial markets 2 Managerial Finance 2 Quantitative finance 2 Staff reports / Federal Reserve Bank of New York 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Algorithmic finance 1 Derivatives Applications in Asset Management : From Theory to Practice 1 Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 Discussion paper / Tinbergen Institute 1 Dynamic Econometric Models 1 Economic modelling 1 Finance and stochastics 1 Finance research letters 1 Global Business & Finance Review (GBFR) 1 Global business and finance review 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of emerging markets 1 International journal of theoretical and applied finance 1 International journal of theoretical and applied finance : IJTAF 1 International review of financial analysis 1 Journal of Banking & Finance 1 Journal of Risk and Financial Management 1 Journal of asset management 1 Journal of financial and quantitative analysis : JFQA 1 Journal of financial economics 1 Journal of international financial markets, institutions & money 1
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Source
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ECONIS (ZBW) 73 RePEc 24 EconStor 6 Other ZBW resources 1
Showing 11 - 20 of 104
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Effects of nondiscretionary trading on futures prices
O'Neill, Michael J.; Whaley, Robert E. - In: The journal of futures markets 43 (2023) 1, pp. 33-68
Persistent link: https://www.econbiz.de/10013465890
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Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen; Chang, Li-Han; Lo, Chien-Ling; Tsai, … - In: Journal of empirical finance 72 (2023), pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
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VIX modeling for a market insider
Hess, Markus - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-27
Persistent link: https://www.econbiz.de/10014497258
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VIX futures pricing based on high-frequency VIX : a hybrid approach combining SVR with parametric models
Qiao, Gaoxiu; Jiang, Gongyue - In: The journal of futures markets 43 (2023) 9, pp. 1238-1260
Persistent link: https://www.econbiz.de/10014339401
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Unspanned macro risks in VIX futures
Yang, Xinglin - In: The journal of futures markets 43 (2023) 9, pp. 1305-1328
Persistent link: https://www.econbiz.de/10014339416
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Hedging performance of volatility index futures : a partial cointegration approach
Lee, Hsiu-chuan; Lien, Da-hsiang Donald; Sheu, Her-jiun - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 265-294
Persistent link: https://www.econbiz.de/10014342031
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Pricing VIX futures : a framework with random level shifts
Chen, Xiaoyi; Feng, Jianfen; Wang, Tianyi - In: Finance research letters 52 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014471930
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Intraday momentum in the VIX futures market
Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - In: Journal of banking & finance 148 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014248282
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The law of one price in equity volatility markets
Van Tassel, Peter - 2020
-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …
Persistent link: https://www.econbiz.de/10012619530
Saved in:
Cover Image
The law of one price in equity volatility markets
Van Tassel, Peter - 2020
-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …
Persistent link: https://www.econbiz.de/10012391498
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