Results 11 to 20 of about 1,687,826 (388)
Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy
Risks, 2022 Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
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Implied volatility directional forecasting: a machine learning approach
Quantitative finance (Print), 2021 This study investigates whether the direction of U.S. implied volatility, VIX index, can be forecast. Multiple forecasts are generated based on standard econometric models, but, more importantly, on several machine learning techniques.
Spyridon D. Vrontos +2 more
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Journal of futures markets, 2021 We examine the role of implied volatility, leverage effect, overnight returns and volatility of realized volatility in forecasting realized volatility by extending the heterogeneous autoregressive (HAR) model to include these additional variables.
Dimos S. Kambouroudis +2 more
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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Implied Tail Risk and ESG Ratings
Mathematics, 2021 This paper explores whether the high or low ESG rating of a company is related to the level of its implied tail risk, measured on the basis of derivative data by implied skewness and implied kurtosis.
Jingyan Zhang +2 more
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Journal of Mathematics, 2021 Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
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The Impact of External Factors on Stock Return Volatility in the European Banking Sector
Problemy Zarządzania, 2021 Purpose: The main aim of the paper is to examine the impact of external determinants on the banking stock return volatility to evaluate it in terms of the stock market capitalization.
Katarzyna Niewińska
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The Relationship Between Implied Volatility and Cryptocurrency Returns
Finance Research Letters, 2020 We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively.
Erdinç Akyıldırım +4 more
semanticscholar +1 more source
PLoS ONE, 2021 We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices ...
Nicolás Magner +3 more
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South African Journal of Economic and Management Sciences, 2017 Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed.
Emlyn Flint, Eben Maré
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