Results 1 to 10 of about 2,741 (162)
Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX [PDF]
Heliyon, 2023 The current study aims to investigate how index returns of conventional and shariah indices of the USA, Europe, and Asia are affected by changes in oil prices, gold prices, VIX, gold-VIX, and oil-VIX. In our investigation, we used the S&P 500, S&P Europe
Safika Praveen Sheikh +5 more
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Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach. [PDF]
PLoS ONE, 2023 This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the ...
Minh Phuoc-Bao Tran, Duc Hong Vo
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VIX constant maturity futures trading strategy: A walk-forward machine learning study. [PDF]
PLoS ONEThis study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information derived from VIX CMFs.
Sangyuan Wang +4 more
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Informational Content of the VIX Index: Dynamic Entropy Approach [PDF]
EntropyThe aim of this study is to thoroughly assess the informational content of the CBOE Volatility Index® (VIX® Index) in the context of various turbulent periods. The VIX Index is especially important from an investor perspective. It is often referred to as
Joanna Olbryś, Dawid Toczydłowski
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VIX option‐implied volatility slope and VIX futures returns
Journal of Futures Markets, 2022 AbstractThis paper documents the dynamics of the term structure of the implied volatility (IV) smirk of Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows that VIX option–IV slope predicts VIX futures returns over the next day to month, outperforms existing investors' perception proxies in the stock and option ...
Jungah Yoon, Xinfeng Ruan, Jin E Zhang
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Can Bitcoin be a safe haven in fear sentiment?
Technological and Economic Development of Economy, 2022 This paper explores how fear sentiment affects the price of Bitcoin by employing the rolling-window Granger causality tests. The analysis reveals negative influences from the volatility index (VIX) to Bitcoin price (BTC), which ascertains that Bitcoin ...
Chi-Wei Su +3 more
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La seconde sophistique et la philosophie [PDF]
Kriterion, 2007 A travers l'étude de quelques discours d'Aelius Ariside, cet article veut discerner la place qu'a occupée Platon dans la formation du rhéteur et, plus généralement, déterminer l'importance qui lui a été accordée dans l'enseignement de la rhétorique à l ...
Jean-Luc Vix
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Valuation of VIX Derivatives [PDF]
SSRN Electronic Journal, 2011 We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi nancial crisis. Since the restrictive mean reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic ...
Javier Mencía, Enrique Sentana
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Dynamics in the VIX complex [PDF]
Journal of Futures Markets, 2021 AbstractThis paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange‐traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it ...
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Complexity, 2022 In this paper, wavelet coherences and quantile autoregressive distributed lag (QARDL) approaches are used to study the effect of economic policy uncertainty (EPU), infectious disease EMV tracker (IDEMV), and implied volatility (VIX) on illiquidity during
Kais Tissaoui +3 more
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