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The information content in a volatility index for Spain
Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...
Persistent link: https://www.econbiz.de/10010333080
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The information content in a volatility index for Spain
Gonzalez-Perez, Maria; Novales, Alfonso - In: SERIEs 2 (2011) 2, pp. 185-216
Persistent link: https://www.econbiz.de/10009149769
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SEA presidential address : group connectivity and cooperation
Urbano Salvador, Amparo - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 2, pp. 139-158
-based volatility index ; model-free volatility index ; risk ; leverage effect ; forecasting volatility …
Persistent link: https://www.econbiz.de/10009355561
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Day-of-the-week effect on the VIX. A parsimonious representation
Gonzalez-Perez, Maria T.; Guerrero, David E. - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 243-260
The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given...
Persistent link: https://www.econbiz.de/10010679160
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; van Dijk, Dick; de Pooter, Michiel - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10010325218
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10005137234
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VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA
Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003
and Value-at-Risk forecasting of daily stock-returns using data from the Spanish equity index IBEX-35. The in …
Persistent link: https://www.econbiz.de/10005731355
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Instituut - 2004
This discussion paper resulted in a publication in the 'International Journal of Forecasting', 2009, 27, 282-303.<P> The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally...</p>
Persistent link: https://www.econbiz.de/10011257135
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Risk-adjusted option-implied moments
Brinkmann, Felix; Korn, Olaf - 2014
distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk … premium for the S&P500 index but fails to capture variance and skewness risk premiums simultaneously. Moreover, we present …
Persistent link: https://www.econbiz.de/10010399367