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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

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

Volatility Regimes for the VIX Index

Marabel Romo, Jacinto - 2012

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index … normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to … one, the variance of the index is a function of the volatility regime, whereas the second version includes ARCH and GARCH …

Persistent link: https://www.econbiz.de/10013114113

Volatility regimes for the VIX index

Marabel Romo, Jacinto - In: Revista de economía aplicada : publicación cuatrimestral 20 (2012) 59, pp. 111-134

Persistent link: https://www.econbiz.de/10009712739

Decomposing the VIX index into greed and fear

Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021

Persistent link: https://www.econbiz.de/10012491391

A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index

Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172

Persistent link: https://www.econbiz.de/10012547707

The macroeconomic determinants of the stock market index performance : the case of DAX index

Karakostas, Emmanouil - In: International Journal of Financial Markets and … 9 (2023) 4, pp. 298-309

Persistent link: https://www.econbiz.de/10015064453

Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets

Akhtar, Shumi M. - 2011

” versus “bad” sentiment news. Specifically, when a lower (higher) than previous month consumer sentiment index is announced …

Persistent link: https://www.econbiz.de/10013130425

Aktienindizes im Portfoliomanagement : Funktionen, Merkmale und Indexeffekte

Schmitz-Esser, Valerio - 2001

Persistent link: https://www.econbiz.de/10013438292

Do informed traders trade more when the market is thick? : evidence from the Nikkei 225 index redefinition of April 2000

Ahn, Hee-joon; Cai, Jun; Chung, Jay M. - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 495-523

Persistent link: https://www.econbiz.de/10009231516

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