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  • Search: subject:"volatility term-structure"
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Year of publication
Subject
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Volatilität 16 Volatility 15 Yield curve 15 Zinsstruktur 15 volatility term structure 11 Estimation 6 Option pricing theory 6 Optionspreistheorie 6 Schätzung 6 Volatility term structure 6 Risikoprämie 5 Risk premium 5 implied volatility 5 Implied Volatility 4 Theorie 4 Theory 4 Capital income 3 Implied volatility term structure 3 Kapitaleinkommen 3 Option trading 3 Optionsgeschäft 3 VIX futures 3 realized volatility 3 Aktienindex 2 Anleihe 2 Arbitrage 2 Bond 2 CDS 2 Coarse Thinking 2 Cross-Section 2 Derivat 2 Derivative 2 Devisenoption 2 Equity Options 2 Forecasting model 2 Implied Volatility Skew 2 Implied Volatility Term Structure 2 Implied volatility 2 Index futures 2 Index-Futures 2
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Online availability
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Free 15 Undetermined 14
Type of publication
All
Article 19 Book / Working Paper 9 Other 1
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Working Paper 3 Article 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 22 Undetermined 7
Author
All
Christoffersen, Peter 2 Díaz Pérez, Antonio 2 Fassas, Athanasios P. 2 Hourvouliades, Nikolas 2 Jacobs, Kris 2 Jareño, Francisco 2 Krylova, Elizaveta 2 Navarro Arribas, Eliseo 2 Nikkinen, Jussi 2 Ornthanalai, Chayawat 2 Siddiqi, Hammad 2 Vasquez, Aurelio 2 Vähämaa, Sami 2 Wang, Yintian 2 Abrahamsen, Bjarte 1 Adland, Roar 1 Anestad, Lars Eirik 1 Angela-Maria, Filip 1 Balaban, Ercan 1 Byström, Hans 1 Byström, Hans N. E. 1 Campisi, Giovanni 1 Choi, Sun-Yong 1 Clements, Adam 1 Eliazar, Iddo 1 González Pérez, María Teresa 1 González-Pérez, María T. 1 Hollstein, Fabian 1 Huang, Xinming 1 Jablecki, Juliusz 1 Jabłecki, Juliusz 1 Kokoszczynski, Ryszard 1 Kokoszczyński, Ryszard 1 Liao, Yin 1 Liu, Jie 1 Lu, Shan 1 Maria-Miruna, Pochea 1 Mauad, Roberto Baltieri 1 Muzzioli, Silvia 1 Ornelas, José Renato Haas 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 European Central Bank 1 School of Economics and Management, University of Aarhus 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
Published in...
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Economics letters 2 MPRA Paper 2 CREATES Research Papers 1 Computational economics 1 Documentos de trabajo / Banco de España 1 Dynamic Econometric Models 1 ECB Working Paper 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance research letters 1 Financial markets and portfolio management 1 International journal of finance & economics : IJFE 1 International journal of forecasting 1 Journal of Financial Economics 1 Journal of Futures Markets 1 Journal of Risk and Financial Management 1 Journal of financial and quantitative analysis : JFQA 1 Journal of forecasting 1 Journal of risk and financial management : JRFM 1 Maritime policy & management 1 Ovidius University Annals, Economic Sciences Series 1 Physica A: Statistical Mechanics and its Applications 1 Review of derivatives research 1 Working Paper 1 Working Paper Series / European Central Bank 1 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Source
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ECONIS (ZBW) 15 RePEc 9 EconStor 4 BASE 1
Showing 1 - 10 of 29
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Convertible bond arbitrage smart beta
Zeitsch, Peter J. - In: Computational economics 63 (2024) 1, pp. 159-192
Persistent link: https://www.econbiz.de/10014472067
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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
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Statistical arbitrage in the freight options market
Adland, Roar; Anestad, Lars Eirik; Abrahamsen, Bjarte - In: Maritime policy & management 50 (2023) 2, pp. 141-156
Persistent link: https://www.econbiz.de/10014231507
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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
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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
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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
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/10012025298
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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10012796271
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Yield curve data choice and potential moral hazard : an empirical exercise on pricing callable bonds
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2124-2145
Persistent link: https://www.econbiz.de/10013184691
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Designing volatility indices for Austria, Finland and Spain
Campisi, Giovanni; Muzzioli, Silvia - In: Financial markets and portfolio management 35 (2021) 3, pp. 369-455
Persistent link: https://www.econbiz.de/10012616167
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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
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