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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 61 - 70 of 104
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Consistent pricing and hedging volatility derivatives with two volatility surfaces
Chen, Mark Ke; Poon, Ser-Huang - 2013
Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are perfectly...
Persistent link: https://www.econbiz.de/10010206962
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Statistics of VIX futures and their applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, Andrew - In: The journal of investment strategies 7 (2018) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011880127
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Smiling twice : the Heston++ model
Pacati, Claudio; Pompa, Gabriele; Renò, Roberto - In: Journal of banking & finance 96 (2018), pp. 185-206
Persistent link: https://www.econbiz.de/10011967200
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
Alexander, Carol; Korovilas, Dimitris - Henley Business School, University of Reading - 2012
A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange … diversification into VIX futures is ex-ante optimal for standard mean-variance investors, then extend this to include (a) skewness …, except during an extreme crisis period or when the investor has personal access to accurate forecasts of VIX futures returns. …
Persistent link: https://www.econbiz.de/10010838039
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Diversification of equity with VIX futures : personal views and skewness preference
Alexander, Carol; Korovilas, Dimitris - 2012
Persistent link: https://www.econbiz.de/10009520567
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Determinants of price discovery in the VIX futures market
Chen, Yu-Lun; Tsai, Wei-Che - In: Journal of empirical finance 43 (2017), pp. 59-73
Persistent link: https://www.econbiz.de/10011817906
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An empirical comparison of transformed diffusion models for VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Journal of international financial markets, … 46 (2017), pp. 116-127
Persistent link: https://www.econbiz.de/10011745478
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When no news is good news : the decrease in investor fear after the FOMC announcement
Fernandez-Perez, Adrian; Frijns, Bart; Tourani Rad, Alireza - In: Journal of empirical finance 41 (2017), pp. 187-199
Persistent link: https://www.econbiz.de/10011746972
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