Results 21 to 30 of about 7,220 (197)
Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis
Management şi Marketing, 2023 The study aims to investigate capital market volatility during crises, exploring the relationships between three key financial indicators: oil prices, the VIX index, and gold prices, using monthly data covering the period from January 2013 to May 2023 ...
Hapau Razvan Gabriel
doaj +1 more source
I propose a new measure of market-based ambiguity about volatility, VIX ambiguity, and show that it conveys information about the price of variance risk. I find that VIX ambiguity is different to VIX volatility, as it is only weakly correlated with the VVIX but embeds superior priced information and predicts the excess returns of S&P 500 straddles ...
LEHNERT, Thorsten
openaire +2 more sources
CBOE volatility index (VIX) and corporate market leverage
Cogent Economics & Finance, 2022 Our paper investigates the nexus between the CBOE Volatility Index (VIX) and the market leverage of firms listed on the US stock market. Analyzing the yearly database of non-financial US firms from 2000 to 2019, we find that an increase in the VIX index ...
Giang Thi Huong Vuong +2 more
doaj +1 more source
A multifactor transformed diffusion model with applications to VIX and VIX futures [PDF]
Econometric Reviews, 2019 Transformed diffusions (TDs) have become increasingly popular in financial modeling for their model flexibility and tractability. While existing TD models are predominately one-factor models, empirical evidence often prefers models with multiple factors. We propose a novel distribution-driven nonlinear multifactor TD model with latent components.
Bu, Ruijun, Jawadi, Fredj, Li, Yuyi
openaire +1 more source
Forecasting the direction of daily changes in the India VIX index using deep learning
IIMB Management Review, 2023 The VIX index is an indicator of the market's perception of risk, and an accurate forecast of the movements in VIX can be very useful for investment risk management.
Akhilesh Prasad +2 more
doaj +1 more source
Stock market return predictability: Google pessimistic sentiments versus fear gauge
Cogent Economics & Finance, 2017 This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than
Ume Habibah +2 more
doaj +1 more source
Trading Signals in VIX Futures [PDF]
Applied Mathematical Finance, 2021 We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures by maximizing the expected utility for a day-ahead horizon given the current shape and level of the term structure. Computationally, we model the functional dependence between
Marco Avellaneda +3 more
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source