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A jump diffusion model for VIX volatility options and futures

Psychoyios, Dimitris; Dotsis, George; Markellos, Raphaēl N. - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 245-269

Persistent link: https://www.econbiz.de/10009260276

Information demand and stock market volatility

Vlastakis, Nikolaos; Markellos, Raphaēl N. - In: Journal of banking & finance 36 (2012) 6, pp. 1808-1821

Persistent link: https://www.econbiz.de/10009616385

Does the weather affect stock market volatility?

Symeonidis, Lazaros; Daskalakis, George; Markellos, … - In: Finance research letters 7 (2010) 4, pp. 214-223

Persistent link: https://www.econbiz.de/10009272751

Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

An international comparison of implied, realized, and GARCH volatility forecasts

Kourtis, Apostolos; Markellos, Raphaēl N.; Symeonidis, … - In: The journal of futures markets 36 (2016) 12, pp. 1164-1193

Persistent link: https://www.econbiz.de/10011665609

An International Comparison of Implied, Realized and GARCH Volatility Forecasts

Kourtis, Apostolos - 2016

We compare the predictive ability and economic value of implied, realized and GARCH volatility models for 13 equity indices from 10 countries. Model ranking is similar across countries, but varies with the forecast horizon. At the daily horizon, the Heterogeneous Autoregressive model offers the...

Persistent link: https://www.econbiz.de/10012996175

Interest rate volatility and risk management : evidence from CBOE Treasury options

Markellos, Raphaēl N.; Psychoyios, Dimitris - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 190-202

Persistent link: https://www.econbiz.de/10012034535