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  • Search: subject:"volatility futures"
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Year of publication
Subject
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Volatility 4 Volatilität 4 volatility futures 4 VIX 3 Index futures 2 Index-Futures 2 Performance measures 2 Volatility futures 2 investment strategies 2 ARCH model 1 ARCH-Modell 1 Aktienindex 1 Aktienmarkt 1 Ankündigungseffekt 1 Announcement effect 1 Bootstrapping 1 Börsenkurs 1 Derivat 1 Derivative 1 Estimation 1 European options 1 Forecasting model 1 GARCH 1 Gaussian random field 1 Heath-Jarrow-Morton (HJM) framework 1 Interest rate derivative 1 Interval forecasts 1 Market efficiency 1 News announcements 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Performance measurement 1 Performance-Messung 1 Predictability 1 Prognoseverfahren 1 Risk-neutral forward density 1 Schätzung 1 Share price 1
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Online availability
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Undetermined 4 Free 2
Type of publication
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Article 5 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 4 Undetermined 2
Author
All
Alexander, Carol 1 Bilyk, Oleh 1 Esparcia, Carlos 1 Han, Xixuan 1 Jablecki, Juliusz 1 Kapraun, Julia 1 Kokoszczynski, Ryszard 1 Konstantinidi, Eirini 1 Korovilas, Dimitris 1 López, Raquel 1 Sakowski, Pawel 1 Sakowskia, Paweł 1 Skiadopoulos, George 1 Slepaczuk, Robert 1 Wei, Boyu 1 Wojcik, Piotr 1 Yang, Hailiang 1 Ślepaczuka, Robert 1
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Published in...
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Dynamic Econometric Models 1 Financial markets, institutions & instruments 1 International Journal of Forecasting 1 International journal of theoretical and applied finance 1 International review of economics & finance : IREF 1 Working papers 1
Source
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ECONIS (ZBW) 4 RePEc 2
Showing 1 - 6 of 6
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Investing in VIX futures based on rolling GARCH models forecasts
Bilyk, Oleh; Sakowskia, Paweł; Ślepaczuka, Robert - 2020
Persistent link: https://www.econbiz.de/10012322122
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Analysis of the performance of volatility-based trading strategies on scheduled news announcement days : an international equity market perspective
López, Raquel; Esparcia, Carlos - In: International review of economics & finance : IREF 71 (2021), pp. 32-54
Persistent link: https://www.econbiz.de/10012627756
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Does historical VIX term structure contain valuable information for predicting VIX futures?
Jablecki, Juliusz; Slepaczuk, Robert; Kokoszczynski, Ryszard - In: Dynamic Econometric Models 14 (2014), pp. 5-28
has significant predictive power for volatility futures and index futures and we use this feature to design simple …
Persistent link: https://www.econbiz.de/10011272573
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Trading and investing in volatility products
Alexander, Carol; Kapraun, Julia; Korovilas, Dimitris - In: Financial markets, institutions & instruments 24 (2015) 4, pp. 313-347
Persistent link: https://www.econbiz.de/10011412056
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Are VIX futures prices predictable? An empirical investigation
Konstantinidi, Eirini; Skiadopoulos, George - In: International Journal of Forecasting 27 (2011) 2, pp. 543-560
This paper investigates whether volatility futures prices per se can be forecasted by studying the fast-growing VIX … volatility futures prices is found. No trading strategy yields economically significant profits. Hence, the hypothesis that the … VIX volatility futures market is informationally efficient cannot be rejected. …
Persistent link: https://www.econbiz.de/10010573802
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