Search Results - subject_exact:"Volatility index"

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371777

Empirical analysis of the "China-US factor" in stock market linkages

Qian, Huai; Yang, Bingkun; Huang, Weihua - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014567007

How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets : evidence from wavelet analysis

Chen, Xiuwen; Yao, Yinhong; Wang, Lin; Huang, Shenwei - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015133595

The US, economic news, and the global financial cycle

Boehm, Christoph E.; Kroner, T. Niklas - 2023 - This draft: February 15, 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014286815

Show 2 more versions 2

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - 2023

Book / Working Paper

The US, economic news, and the global financial cycle

Boehm, Christoph E.; Kroner, T. Niklas - 2020 - This draft: September 4, 2020

Edition: This draft: September 4, 2020

Book / Working Paper

Application of volatility-managed portfolios in the context of a volatility index

Subramanian, Abhishek; Kayal, Parthajit - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014375126

Connectivity of green financial assets under geopolitical risks and market-implied volatility

Bajra, Ujkan Q.; Aliu, Florin; Prenaj, Vlora - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410641

Bitcoin's hedging attributes against market uncertainty : an investigation with ADCC-GARCH model

Guizani, Sana; Ajina, Aymen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578243

Proving their mettle : managerial ability and firm performance in trying times

Hettler, Barry; Cordeiro, James; Forst, Arno - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077544

Optimal VIX-linked structure for the target benefit pension plan

Lv, Chen; Li, Danping; Wang, Yumin; Zhu, Xiaobai - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014485596

The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX) : analysis based on VAR, SVAR, and wavelet coherence

Aliu, Florin; Asllani, Alban; Hašková, Simona - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014467188

The ambiguous December

Shust, Efrat - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014490698

The VIX's term structure of individual active stocks

Qadan, Mahmoud; David, Or; Snunu, Iyad; Shuval, Kerem - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491016

Mitigating risk with conditional option strategies

Campasano, Jim - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195113

On general semi-closed-form solutions for VIX derivative pricing

Bacon, Étienne; Bégin, Jean-François; Gauthier, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196978

A causal analysis of fear index and stock indices : evidence from India

Sharma, Ankit; Sharma, Vivek - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326165

Impact of Covid 19 on the stock movements and sectorial reactions : evidence from Indian stock market

Kubendran, N. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564298

Extended residual coherence with a financial application

Zhang, Xuze; Kedem, Benjamin - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012600290

Extended residual coherence with a financial application

Zhang, Xuze; Kedem, Benjamin - 2021

Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012582392

GARCH generated volatility indices of Bitcoin and CRIX

Venter, Pierre J.; Maré, E. - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611350

Volatility indices and implied uncertainty measures of European government bond futures

Baran, Jaroslav; Voříšek, Jan - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013384851

Capital market volatility MGARCH analysis : evidence from Southeast Asia

Rusmita, Sylva Alif; Rani, Lina Nugraha; Swastika, Putri; … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012671647

GARCH generated volatility indices of Bitcoin and CRIX

Venter, Pierre J.; Maré, Eben - 2020

In this paper, the pricing performance of the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of BTCUSD and the Cyptocurrency Index (CRIX) are generated...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012309013

A statistical measure of global equity market risk

Ahelegbey, Daniel Felix - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012321944

A new approach to improving hedging performance in the OLS model

Kim, Chongwon; Jung, Hyeonjong; Kang, Hyoung Goo - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014231018

Forecasting VIX with stock and oil prices

Huang, Hung-Hsi; Lin, Yi-Ru - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014249134

A long-memory analysis for the CBOE Brazil ETF volatility index

Monte, Edson Zambon - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014460237

Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? : a time-frequency analysis

Chen, Xiuwen - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014335498

Consequences of the Russia-Ukraine war : evidence from DAX, ATX, and FTSEMIB

Aliu, Florin; Mulaj, Isa; Hašková, Simona - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014252635

Simulation of arbitrage-free implied volatility surfaces

Cont, Rama; Vuletić, Milena - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014443387

Network analysis of international financial markets contagion based on volatility indexes

Lin, Weinan; Ouyang, Ruolan; Zhang, Xuan; Zhuang, Chengkai - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014473638

Replicating the CBOE VIX using a synthetic volatility index trading algorithm

Cary, Dayne; Van Vuuren, Gary - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014001400

Oil price predictors: machine learning approach

An, Jaehyung; Mikhaylov, Alexey; Moiseev, Nikita … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012425016

Replicating the CBOE VIX using a synthetic volatility index trading algorithm

Cary, Dayne; Van Vuuren, Gary - 2019

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped trading strategy to gauge its...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014230463

Risk and ambiguity in turbulent times

Brenner, Menachem; Izhakian, Yehuda - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013174941

Construction of a volatility index from exchange-traded dollar-rupee options

Bhat, Aparna Prasad - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013537567

Hedging effectiveness of the VIX ETPs : an analysis of the time-varying performance of the VXX

Ceylan, Özcan - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013171832

Performance of volatility asset as hedge for investor's portfolio against stress events : COVID-19 and the 2008 financial crisis

Chendurpandian, Chinnaraja; Pandey, Piyush - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014267001

Impact of COVID-19 pandemic on the energy markets

Shaikh, Imlak - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012817342

Stock market return predictability: Google pessimistic sentiments versus fear gauge

Habibah, Ume; Rajput, Suresh; Sadhwani, Ranjeeta - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011988804

Variance premium and implied volatility in a low-liquidity option market

Astorino, Eduardo Sanchez; Chague, Fernando; … - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011898770

Stock market return predictability : Google pessimistic sentiments versus fear gauge

Habibah, Ume; Rajput, Suresh Kumar Oad; Sadhwani, Ranjeeta - 2017

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011886968