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The relationship between the volatility of returns and the number of jumps in financial markets

Cartea, Alvaro; Karyampas, Dimitrios - Departamento de Economía de la Empresa, Universidad … - 2009

Bipower Variation; (iii) The number of jumps in the SPY prices has a similar explanatory power to that of the VIX, and …, they contain information that is not impounded in the VIX. …

Persistent link: https://www.econbiz.de/10008514805

Does implied volatility reflect a wider information set than econometric forecasts?

Becker, Ralf; Clements, Adam; Curchin, James - National Centre for Econometric Research (NCER) - 2007

Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility. The general theme to come from this body of work is that implied volatility is a superior forecast. Some authors attribute...

Persistent link: https://www.econbiz.de/10005416544

The Jump component of S&P 500 volatility and the VIX index

Becker, Ralf; Clements, Adam; McClelland, Andrew - National Centre for Econometric Research (NCER) - 2008

issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes … information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any … incremental information relative to model based forecasts pertaining to future jumps. It is found that the VIX index both subsumes …

Persistent link: https://www.econbiz.de/10005635660

Bending, Stretching, and Smiling : Entropic Homeomorphisms of the Faces of Finance

Parker, Edgar - 2018

Concepts from information theory are utilized to study the effects of entropy on the behavior of finance systems and variables of interest. From this analysis, a common entropic measure was derived that determines the structure and evolution of a wide variety of financial topologies. This...

Persistent link: https://www.econbiz.de/10012935664

Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

Fujiwara, Ippei; Ichiue, Hibiki; Nakazono, Yoshiyuki; … - In: Economics Letters 118 (2013) 3, pp. 526-530

This paper evaluates professional forecasters’ behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock–bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond...

Persistent link: https://www.econbiz.de/10010688091

VPIN and the Flash Crash

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...

Persistent link: https://www.econbiz.de/10009644870

The jump component of S&P 500 volatility and the VIX index

Becker, Ralf; Clements, Adam; McClelland, Andrew - 2009

-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility … by whether the VIX reflects any incremental information pertaining to future jump activity relative to model …-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and …

Persistent link: https://www.econbiz.de/10009483523

The information content of ASX SPI 200 implied volatility

Tanha, Hassan; Dempsey, Michael - In: Review of Pacific Basin financial markets and policies 19 (2016) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011490536

The relationship between the volatility of returns and the number of jumps in financial markets

Cartea, Álvaro; Karyampas, Dimitrios - In: Econometric reviews 35 (2016) 5/7, pp. 929-950

Persistent link: https://www.econbiz.de/10011590735

The evolving dynamics of the Australian SPI 200 implied volatility surface

Tanha, Hassan; Dempsey, Michael - In: Journal of international financial markets, … 43 (2016), pp. 44-57

Persistent link: https://www.econbiz.de/10011673487