Search Results - subject:"implied volatility forecasting"

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Disaggregating VIX

Degiannakis, Stavros; Kafousaki, Eleftheria - 2025

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

Forecasting VIX : the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - In: Economics and Business Letters : EBL 12 (2023) 3, pp. 231-240

Persistent link: https://www.econbiz.de/10014448444

Forecasting VIX: the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - 2023

Persistent link: https://www.econbiz.de/10014338590

Implied correlation indices and volatility forecasting

Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588

Persistent link: https://www.econbiz.de/10011713025

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis; Charalambous, Chris; Martzoukos, Spiros - In: Review of Quantitative Finance and Accounting 42 (2014) 3, pp. 373-397

This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterizes the implied volatility functions of S&P 500 Index options in the period 1996–2009. We find that estimating the...

Persistent link: https://www.econbiz.de/10010867637