Search Results - subject:"volatility term structure"

Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector

González-Pérez, María T. - 2021

Persistent link: https://www.econbiz.de/10012793105

Volatility term structures in commodity markets

Hollstein, Fabian; Prokopczuk, Marcel; Würsig, Christoph - In: Journal of Futures Markets 40 (2019) 4, pp. 527-555

the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of …

Persistent link: https://www.econbiz.de/10012428681

VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-9

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects...

Persistent link: https://www.econbiz.de/10012611184

VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of risk and financial management : JRFM 12 (2019) 3/113, pp. 1-9

Persistent link: https://www.econbiz.de/10012025298

Equity Volatility Term Structures and the Cross-Section of Option Returns

Vasquez, Aurelio - 2016

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

Persistent link: https://www.econbiz.de/10013008475

Credit-Implied Forward Volatility and Volatility Expectations

Byström, Hans - 2015

We show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility...

Persistent link: https://www.econbiz.de/10013208742

Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

Persistent link: https://www.econbiz.de/10010789231

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

introduc-ing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP). We use them …

Persistent link: https://www.econbiz.de/10011272573

Significance of Volatility in Option Pricing

Maria-Miruna, Pochea; Angela-Maria, Filip - In: Ovidius University Annals, Economic Sciences Series XIII (2013) 1, pp. 1440-1444

volatility term structure. Testing these correlations on the Romanian options market is quite difficult because of the low market …

Persistent link: https://www.econbiz.de/10010679453

Thinking by analogy, systematic risk, and option prices

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2011

People tend to think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainathan et al [Quarterly Journal of Economics, May 2008] is intuitively very appealing. We develop a new option pricing model based on the idea that the market consists of coarse thinkers as...

Persistent link: https://www.econbiz.de/10009132750