Results 161 to 170 of about 1,597,398 (237)
Asymmetric dynamic linkage between consumer sentiment, inflation expectations, and international energy prices: Evidence from time-frequency wavelet and nonlinear analysis. [PDF]
PLoS OneFu L, Yuan D, Teng J.
europepmc +1 more source
VIX constant maturity futures trading strategy: A walk-forward machine learning study. [PDF]
PLoS OneWang S, Li K, Liu Y, Chen Y, Tang X.
europepmc +1 more source
Implied volatility indices – A review [PDF]
The Quarterly Review of Economics and Finance, 2009 An implied volatility index reflects the market expectations for the future volatility of the underlying equity index. This study tests and documents the information content, regarding both the realized volatility and the returns of the underlying equity index, of all publicly available implied volatility indices across the world.
Costas Siriopoulos +3 more
openaire +3 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
AN EXPLICIT IMPLIED VOLATILITY FORMULA
International Journal of Theoretical and Applied Finance, 2017We show that an explicit approximate implied volatility formula can be obtained from a Black–Scholes formula approximation that is 2% accurate. The relative error of the approximate implied volatility is uniformly bounded for options with any moneyness and with arbitrary large or small option maturities and volatilities, including for long dated ...
Radoš Radoičić, Dan Stefanica
openaire +4 more sources
Social Science Research Network, 2021
This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium.
María T. González-Pérez
semanticscholar +1 more source
This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium.
María T. González-Pérez
semanticscholar +1 more source
Quantitative Finance, 2009 This Article does not have an abstract.
Peter Leoni +3 more
openaire +2 more sources
Implied Volatility String Dynamics [PDF]
Research Papers in Economics, 2003 Not ...
Fengler, Matthias R. +2 more
openaire +4 more sources
Does Implied Volatility Imply Volatility—in Bonds?
The Journal of Fixed Income, 2001The authors investigate the relationship between the implied volatility derived from option contracts on U.S. Treasury bond futures and the actual volatility observed in these securities. Research has suggested that implied volatility in stock options correctly forecasts realized volatility in stock prices; the authors find the same is true in bonds ...
Eric Bertonazzi, Michael T. Maloney
openaire +2 more sources
The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility [PDF]
Journal of Real Estate Portfolio Management, 2010 Executive Summary. This paper examines the characteristics of real estate investment trust (REIT) equity options and the predictive power of ex ante risk measures obtained using option prices.
Dean Diavatopoulos +3 more
openaire +1 more source
Information Content of Aggregate Implied Volatility Spread
Management Sciences, 2020Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively...
Bing Han, Gang Li
semanticscholar +1 more source