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Year of publication
Subject
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Index-Futures 3,760 Index futures 3,746 Aktienindex 1,921 Stock index 1,916 Index 1,372 Index number 1,371 Index construction 1,230 Indexberechnung 1,230 Indexation 1,196 Indexbindung 1,196 Economic indicator 1,193 Wirtschaftsindikator 1,193 Volatilität 1,012 Volatility 1,004 Börsenkurs 627 Share price 619 Optionspreistheorie 572 Option pricing theory 566 Theorie 507 Theory 498 Derivat 476 Derivative 476 USA 445 United States 440 Optionsgeschäft 408 Option trading 406 Schätzung 381 Estimation 372 Kapitaleinkommen 250 Capital income 249 Hedging 247 ARCH-Modell 215 ARCH model 213 Deutschland 178 Prognoseverfahren 173 Forecasting model 170 Aktienmarkt 169 Portfolio selection 168 Portfolio-Management 168 Germany 167
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Online availability
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Undetermined 1,664 Free 629 CC license 28
Type of publication
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Article 2,864 Book / Working Paper 939 Other 1
Type of publication (narrower categories)
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Article in journal 1,659 Aufsatz in Zeitschrift 1,659 Working Paper 241 Graue Literatur 235 Non-commercial literature 235 Arbeitspapier 220 Aufsatz im Buch 58 Book section 58 Hochschulschrift 58 Thesis 53 Bibliografie enthalten 14 Bibliography included 14 Conference paper 7 Forschungsbericht 7 Konferenzbeitrag 7 Collection of articles written by one author 5 Sammlung 5 Collection of articles of several authors 4 Sammelwerk 4 Conference proceedings 3 Konferenzschrift 3 Lehrbuch 3 Ratgeber 3 Textbook 3 Accompanied by computer file 2 Amtsdruckschrift 2 Article 2 Case study 2 Dissertation u.a. Prüfungsschriften 2 Elektronischer Datenträger als Beilage 2 Fallstudie 2 Glossar enthalten 2 Glossary included 2 Government document 2 Guidebook 2 Handbook 2 Handbuch 2 Aufsatzsammlung 1 Bibliografie 1 Enzyklopädie 1
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Language
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English 3,679 German 93 Undetermined 29 French 2 Italian 2 Hungarian 1 Portuguese 1
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Author
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Ryu, Doojin 28 Tse, Yiuman 23 Röder, Klaus 17 Jackwerth, Jens Carsten 16 Kempf, Alexander 16 Bamberg, Günter 15 Fung, Joseph K. W. 15 Perrakis, Stylianos 15 Frino, Alex 13 Wang, George H. K. 13 Engle, Robert F. 12 Lien, Da-hsiang Donald 12 Dorfleitner, Gregor 11 Gannon, Gerard L. 11 Kurov, Alexander 11 McMillan, David G. 11 Mittnik, Stefan 11 Noh, Jaesun 11 Todorov, Viktor 11 Whaley, Robert E. 11 Bohl, Martin T. 10 Cheng, Louis T. W. 10 Chung, Huimin 10 Constantinides, George M. 10 Härdle, Wolfgang 10 Kane, Alex 10 Lee, Cheng F. 10 Wang, Janchung 10 Ackert, Lucy F. 9 Antoniou, Antonios 9 Ap Gwilym, Owain 9 Bates, David S. 9 Fabozzi, Frank J. 9 Floros, Christos 9 Guidolin, Massimo 9 Han, Qian 9 Koutmos, Gregory 9 Lee, Hsiu-chuan 9 Puttonen, Vesa 9 Shaikh, Imlak 9
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Institution
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National Bureau of Economic Research 13 International Monetary Fund (IMF) 12 Universität Augsburg / Institut für Statistik und Mathematische Wirtschaftstheorie 7 International Monetary Fund 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 European Commission / Directorate-General for Communications Networks, Content and Technology 3 Federal Reserve Bank of St. Louis 3 Svenska Handelshögskolan <Helsinki> 3 Bonn Graduate School of Economics 2 Deutsche Terminbörse <Frankfurt, Main> 2 Europäische Kommission 2 Großbritannien / Central Statistical Office 2 School of Accounting, Economics and Finance <Geelong> 2 USA / Division of Economic Analysis 2 Asia Pacific Futures Research Symposium <13, 2003, Schanghai> 1 Asia Pacific Futures Research Symposium <14, 2004, Hongkong> 1 Asia Pacific Futures Research Symposium <20, 2010, Hongkong> 1 Birmingham Business School 1 Canadian Agricultural Trade Policy Research Network (CATPRN) 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Chambre de commerce et d'industrie de Paris 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Commission of the European Communities 1 Commodity Research Bureau 1 Commodity Research Bureau <Chicago, Ill.> 1 Cornell University / Liberian Codification Project 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, School of Business and Economics 1 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 1 Deutschland / Bundeswehr / Universität Hamburg 1 Eric Cuvillier <Firma> 1 European Communities 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Friedrich-Schiller-University Jena 1 Großbritannien / Commission on the Third London Airport 1 Institute of Finance and Accounting <London> 1 International Conference on Derivatives and Risk Management <2003, Schanghai> 1 International Economic Association 1 Internationaler Währungsfonds 1
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Published in...
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The journal of futures markets 286 Journal of banking & finance 49 International review of economics & finance : IREF 42 Applied financial economics 41 International review of financial analysis 41 Finance research letters 32 Pacific-Basin finance journal 31 Review of futures markets 27 Applied economics letters 24 The journal of finance : the journal of the American Finance Association 24 The journal of derivatives : the official publication of the International Association of Financial Engineers 23 Journal of empirical finance 22 Review of quantitative finance and accounting 22 The review of financial studies 22 Applied economics 20 Advances in futures and options research : a research annual 19 The North American journal of economics and finance : a journal of financial economics studies 18 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 17 Review of Pacific Basin financial markets and policies 16 Journal of financial and quantitative analysis : JFQA 15 Journal of financial economics 15 Journal of international financial markets, institutions & money 15 Journal of financial markets 14 The European journal of finance 14 Working paper 14 Investment management and financial innovations 13 NBER working paper series 13 Review of derivatives research 13 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 13 Working paper / National Bureau of Economic Research, Inc. 13 Economic modelling 12 Quantitative finance 12 Asia-Pacific journal of financial studies 11 Discussion paper 11 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 11 NBER Working Paper 11 Research in international business and finance 11 The empirical economics letters : a monthly international journal of economics 11 The financial review : the official publication of the Eastern Finance Association 11 The journal of business : B 11
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Source
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ECONIS (ZBW) 3,735 RePEc 38 EconStor 23 USB Cologne (EcoSocSci) 4 BASE 2 Other ZBW resources 2
Showing 1 - 50 of 3,804
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Disaggregating VIX
Degiannakis, Stavros; Kafousaki, Eleftheria - 2025
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Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025
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Spatial linkages of positive feedback trading among the stock index futures markets
Tian, Shuxi; Liu, Shuyi; Mu, Lijie - 2025
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Asymmetric commodity tails and index futures returns
Wang, Yuanzhi; Wei, Xinbei; Zhang, Qunzi - 2025
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Option-implied physical distributions
McGee, Richard; Post, Thierry; Potì, Valerio - 2024
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Demand risks and term structure of volatility index futures
Yang, Xinglin; Huang, Juan - In: Journal of management science and engineering 9 (2024) 4, pp. 568-586
In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the arbitrageurs optimize portfolios based on mean-variance...
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Energy prices and their impact on US stock indices : a wavelet- based quantile-on-quantile regression approach
Ahmad Monir Abdullah; Aini Aman - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 216-234
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Arbitrage opportunities and efficiency tests in crypto derivatives
Alexander, Carol; Chen, Xi; Deng, Jun; Wang, Tianyi - In: Journal of financial markets 71 (2024), pp. 1-20
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The lead-lag relation between VIX futures and SPX futures
Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26
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Effectiveness of deterministic option pricing models : new evidence from Nifty and Bank Nifty Index options
Singh, Vipul Kumar; Kumar, Pawan - In: The journal of asset management : a major new, … 25 (2024) 2, pp. 172-189
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Predicting stock market crises using stock index derivatives : evidence from China
Ma, Xiaohan; Lin, Hui - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 3, pp. 576-597
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Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database
Wallmeier, Martin - In: The journal of futures markets 44 (2024) 5, pp. 854-875
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Reaching for duration and leverage in the Treasury market
Barth, Daniel; Kahn, R. Jay; Monin, Phillip; … - 2024
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Construction and hedging of equity index options portfolios
Wysocki, Maciej; Ślepaczuk, Robert - 2024
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Exclude with impunity : personalized indexing and stock restrictions
Chen, Yin; Israelov, Roni - In: Financial analysts journal : FAJ 80 (2024) 2, pp. 7-25
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A new index of option implied absolute deviation
Dotsis, George - In: The journal of futures markets 44 (2024) 9, pp. 1543-1555
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Pricing of risk in credit and equity index options : a role for option order flow?
Collin-Dufresne, Pierre; Trolle, Anders B. - 2024 - This version: November 19, 2024
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Does market efficiency matter for Shanghai 50 ETF index options?
Hoque, Ariful; Le, Thi; Hasan, Morshadul; Abedin, … - In: Research in international business and finance 67 (2024) 2, pp. 1-9
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Food financialization : impact of derivatives and index funds on agri-food market volatility
Venegas, María del Rosario; Feregrino, Jorge; Lay, Nelson - 2024
This study explores the financialization of agricultural commodities, focusing on how financial derivatives and index funds impact the volatility of agro-food markets. Using a Dynamic Conditional Correlation (DCC) GARCH model, we analyze volatility spillovers among key agricultural commodities,...
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Left-digit biases : individual and institutional investors
Yu, Jinyoung; Kim, Young-chul; Ryu, Doojin - In: The journal of futures markets 44 (2024) 3, pp. 518-532
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Frequent trading and investment performance : evidence from the KOSPI 200 futures market
Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The journal of futures markets 44 (2024) 12, pp. 1911-1922
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The Martingale Index
Dimitrov, Valentin; Shafer, Glenn - 2023
Day traders, traders for financial institutions, and corporate executives sometimes appear to do better than chance only because the risk of large losses is hidden or overlooked. As students of casino gambling know, one way to obscure the risk of large losses is to bet more when you are losing...
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Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes
Narayanasamy, Arun; Panta, Humnath; Agarwal, Rohit - 2023
This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error...
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High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence
Farokhnia, Kia; Osterrieder, Joerg - 2023
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...
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Implied volatility smoothing at COVID-19 times
Vitali, Sebastiano; Kopa, Miloš; Giana, Gabriele - In: Computational management science 20 (2023) 1, pp. 1-42
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Co-movements between an Asian technology stock index and cryptocurrencies during the COVID-19 pandemic : a bi-wavelet approach
Arief Rijanto - In: Economies : open access journal 11 (2023) 9, pp. 1-20
This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China's Tech index (XA90), and India's Tech index (NSEIT) from 2017 to 2021, representing both before and during...
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...
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Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
Suliga, Milena - In: Managerial economics 24 (2023) 1, pp. 39-82
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
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Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14
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Reconstructing volatility : pricing of index options under rough volatility
Friz, Peter K.; Wagenhofer, Thomas - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 19-40
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Performance Persistence and the Implied Volatility Smile. Evidence from the Nasdaq OMX Copenhagen 25 Stock Index Options
Guirguis, Michel - 2023
In this article, we examine performance persistence and the implied volatility smile of the Nasdaq OMX Copenhagen 25 stock index options from the period 2010 to 2020. This is the first study that provides a detailed analysis of performance persistence using data from the nasdaqomxnordic website....
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Forecasting Volatility in the S&P 500 Index - An Empirical Test of Option Market Efficiency
Kinlay, J - 2023
In this analysis we are concerned with the issue of whether market forecasts of volatility, as expressed in the Black-Scholes implied volatilities of at-the-money European options on the S&P500 Index, are superior to those produced by a new forecasting model in the GARCH framework which...
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Analytic RFR Option Pricing with Smile and Skew
Turfus, Colin; Romero-Bermudez, Aurelio - 2023
We extend the short rate model of Turfus and Romero-Bermúdez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-looking compounded rates payments, in a manner consistent with the smile and skew levels observed in the market....
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Empirical Analysis of the Impact on the Nifty Index Spot Price after the Introduction of the Weekly Option for Nifty Index -Nse/India
SUNDARAM, MANIMARAN; venkatraman, ramesh - 2023
Emerging Indian stock market volatility pattern tested for an event of the introduction of weekly option on 19th February 2019.Primary investigation confirms that the need of GARCH models for further investigation. The TGARCH methodology has been adopted. The ARCH and GARCH parameters confirm...
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Performance Persistence and Implied Volatility Smile. Evidence from the S&P 500 Stock Index Options
Guirguis, Michel - 2023
This article examines performance persistence of the S&P 500 stock index options from the period 2010 to 2022. Performance persistence in the investment literature was a major area of investigation for academics, investors and practitioners for more than 3 decades. This is the first study that...
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The Valuation Effects of Index Investment in Commodity Futures
Dubois, Michel; Maréchal, Loïc - 2023
This paper studies the valuation effect of the SP-GSCI roll on commodity contracts. We identify a surge of investment tracking commodity futures indices in December 2003. Before 2004, the roll period generated average cumulative abnormal price changes amounting to 115 bps for the nearby contract...
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The Relationship Between CNN Money’s US Stock Market Fear and Greed Index and US Stock Indices
Johnson, Jackie - 2023
CNN Money developed the original US Stock Market Fear and Greed Index in 2012, using seven data points to measure stock market performance. The ability of the Fear and Greed Index to impact on future values of the various stock indices appears to be dependent on the observation period and the...
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Using the Volatility Index (VIX) as a Trading Indicator
Dolvin, Steven D.; Foltice, Bryan - 2023
Most technical trading strategies primarily focus on price trends to guide investment decisions. We consider an alternative approach that employs changes in the volatility index (i.e., VIX) as a trading indicator and test a variety of thresholds in an easy to implement trading strategy that even...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014350478
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The Effect of Stock Market Indexing on Option Price Efficiency
Chang, Eric C.; Ge, Li; Lin, Tse-Chun; Ma, Xiaorong - 2023
Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...
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Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options
Post, Thierry - 2023
We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...
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Realized Volatility Skewness and Kurtosis Implied by Index Option Prices
Rolloos, Frido - 2023
For nonzero but small values of correlation a method is given to de-correlate the instantaneous volatility from the price process in stochastic volatility models. Once the skew has been symmetrized in this manner, it is possible to imply moments of realized volatility from the index option...
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Examining Bitcoin Price Volatility Transmission between Spot and Futures Markets
Apostolakis, George - 2023
This paper examines volatility transmission between the spot and futures bitcoin markets. We use daily series over a sampling period that spans from December 2017 to September 2022. We examine several events that spread severe risk in cryptomarkets, such as the COVID-19 pandemic in 2020,...
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A comparative analysis of hedging determination for three alternative international equity index futures
Lin, Fu-Lai - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-22
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The systemic risk approach based on implied and realized volatility
Sakowski, Paweł; Sieradzki, Rafał; Ślepaczuk, Robert - 2023
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Stepping stone or stumbling block? : the effect of stock index inclusions on firm performance
Bai, Tianyu; Li, Zhongfei; Lin, Yuanjing; Liu, Haiping - In: Applied economics letters 32 (2025) 3, pp. 422-428
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Which way does the wind blow between SPX futures and VIX futures?
Aikins, Ekow A.; Kurov, Alexander - 2025
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The CNN Fear and Greed Index as a predictor of US equity index returns : static and time-varying Granger causality
Farrell, Hugh; O'Connor, Fergal A. - In: Finance research letters 72 (2025), pp. 1-7
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Intraday price discovery and volatility transmission between the dual-listed stock index futures and spot markets : new evidence from India
Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - 2025
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Keep on Smiling : Market Imbalance, Option Pricing, and the Volatility Smile
Orrell, David - 2022
The Black-Scholes model, which is widely used to price financial options, assumes that volatility is constant as a function of strike price. However when market option prices are used to infer the volatility that is implied by those prices, it often exhibits a marked dependence on strike price...
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