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An empirical study on index changes on the Indonesia Stock Exchange

Rafik, Abdur; Lantara, I. Wayan Nuka - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 2, pp. 87-118

Persistent link: https://www.econbiz.de/10011719681

Flooding in News? Building a Comprehensive News Index to Explain Financial Price Indexes

Ferrer, Jovelyn; Malagon, Juliana; ter Horst, Enrique - 2022

into a news index that has explanatory power over equity, bonds and commodities returns. Our index captures the most … certain types of news or events, our index endogenously controls for the complexity, size and diversity of investors …

Persistent link: https://www.econbiz.de/10014238564

Tail comovements of implied volatility indices and global index futures returns predictability

Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463335

A Fear Index to Predict Oil Futures Returns

Chevallier, Julien - 2016

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10013007386

Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes

Narayanasamy, Arun; Panta, Humnath; Agarwal, Rohit - 2023

short-term between the VIX futures and the VIX spot index, suggesting that they are informationally efficient. On the …

Persistent link: https://www.econbiz.de/10014355125

Skew index : descriptive analysis, predictive power, and short-term forecast

Mora-Valencia, Andrés; Rodríguez-Raga, Santiago; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012821304

Skew Index : a machine learning forecasting approach

Vanegas, Esteban; Mora-Valencia, Andrés - 2024

Persistent link: https://www.econbiz.de/10015193201

Indexes of ordinary share prices : an evaluation

Balasubramaniam, C. S. - In: Artha vijñāna : journal of the Gokhale Institute of … 22 (1980) 4, pp. 552-564

Persistent link: https://www.econbiz.de/10001870744

Tracking the VIX Index

Fassas, Athanasios - 2014

seven popular volatility Exchange Traded Products (ETPs) on the spot VIX index. The empirical findings suggest limited …

Persistent link: https://www.econbiz.de/10013040045

Index to volumes 1A and 1B

In: Handbook of population and family economics : volume 1, …, (pp. I-1-I-45). 1997

This chapter presents the index of the Handbook of population and family economics, volume 1A. The index contains terms …

Persistent link: https://www.econbiz.de/10014024294