Results 91 to 100 of about 7,220 (197)

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable. [PDF]

PeerJ Comput Sci, 2023
Patwary MSA, Das KP.
europepmc   +1 more source

A new model for the joint calibration of SPX and VIX derivatives [PDF]

LAUREA MAGISTRALEL’indice VIX è diventato un punto di riferimento centrale per la volatilità implicita di mercato, fungendo sia da indicatore della fiducia degli investitori sia da strumento negoziabile tramite futures e opzioni.
Algeri, Matteo
core  

Volatility regimes for the VIX index [PDF]

Revista de Economía Aplicada, 2011
This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index.
openaire   +1 more source

Joint calibration of the SPX and VIX: a comparison of different techniques

LAUREA MAGISTRALEConsideriamo la calibrazione congiunta SPX-VIX in una classe generale di modelli di volatilità polinomiale gaussiana in cui la volatilità dello SPX è assunta come la funzione polinomiale di un processo di Volterra gaussiano definito ...
Romano, Cesare, Milano, Niccolò
core  

What Makes the VIX Tick?

, 2014
We study the minute-by-minute behavior of the VIX index and trading activity in the underlying S&P 500 options market. VIX squared tends to increase around times of macroeconomic news releases.
Edith Liu, Yonghao Pu, Andrew Karolyi, Yinggang Zhou, Xiaoyan Zhang, Alok Kumar, Warren Bailey, Mancang Dong, Andrei Ukhov, Fan Yu, Pamela Moulton, Lin Zheng, David Ng, George Gao   +13 more
core  

Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]

Entropy (Basel)
Yılmaz TE, Zehir C.
europepmc   +1 more source

High-Payload and Secure Data Hiding for Medical Images in IoMT-Based eHealth Systems. [PDF]

Sensors (Basel)
Wang Y, Lin Y, Chang CC, Chang CC, Hwang WY.   +4 more
europepmc   +1 more source

Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure. [PDF]

J Econ Asymmetries, 2023
Papadamou S, Fassas AP, Kenourgios D, Dimitriou D.   +3 more
europepmc   +1 more source

Essays on VIX Futures and Options

, 2012
This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in ...
Huskaj, Bujar
core  

Description d'une espéce nouvelle de chauliognathus du Brésil

Revista del Museo de La Plata
Elongatus, subopacus, niger, genis, mandibulis, prothoracis  lateribus sat late guttaque ad apicem elytrorum flavis; prothoraee fere quadrato, latitudine basali haud vel vix breviore, medio sa t  profunde longitudinaliter sulcato, angulis anticis late ...
J. Bourgeois
doaj