Results 21 to 30 of about 2,872 (161)
Do sentiment indices impact the premium of prominent pricing factors?
Cogent Economics & Finance, 2018 This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes
Ranjeeta Sadhwani +2 more
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Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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International Journal of STEM Education, 2019 Background Many undergraduate students majoring in science, technology, engineering, and mathematics (STEM) fields lack experience in collaborative thinking, limiting their effectiveness as they enter careers in academic and industrial environments.
Kendra H. Oliver +2 more
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Uluslararası Finansal Endekslerin Döviz Kurları Üzerine Etkileri: Ampirik Bir Analiz
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, 2018 Bu çalışmada, uluslararası finans piyasalarının üç önemli endeksi olan VIX, ABD dolar ve MOVE endekslerinin, gelişmiş ve gelişmekte olan ülke döviz kurları üzerindeki etkileri incelenmektir.
Hakan Öner
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Cogent Economics & Finance, 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 ...
Dayne Cary, Gary van Vuuren
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Economics and Business Review, 2020 The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor.
Latoszek Michał, Ślepaczuk Robert
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Cogent Economics & Finance, 2020 Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the ...
Jalaj Pathak, Soumya G. Deb
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İstanbul İktisat Dergisi, 2022 This study examines the effects of volatilities in oil price, gold price and the VIX index on the Turkish BIST 100 stock index during the pandemic period. For this purpose, an econometric analysis has been carried out by using the oil, gold and VIX index
Kadir Tuna
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Journal of Forecasting, EarlyView.ABSTRACT This paper develops Masked Asset–Regime Scenario Diffusion (MARS‐Diff), a leakage‐disciplined framework for probabilistic forecasting of multiday portfolio losses. The framework combines a regularized heterogeneous autoregressive model with exogenous predictors (HAR‐X) as its anchor, a train‐only masked representation of a high‐dimensional ...
Çağlar Sözen, Mervenur Sözen
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The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact
Journal of Futures Markets, EarlyView.ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel +2 more
wiley +1 more source