Results 41 to 50 of about 7,220 (197)
Modeling S&P500 returns with GARCH models
Latin American Journal of Central Banking, 2023 This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the ...
Rodrigo Alfaro, Alejandra Inzunza
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The Rise and Fall of S&P500 Variance Futures [PDF]
Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures.
Michael McAleer +3 more
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Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX [PDF]
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied ...
Michael McAleer, Kosuke Oya, Isao Ishida
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Discrete Dynamics in Nature and Society, 2021 This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and
Tao Bing, Fei Hu, Hongkun Ma
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VIX ENDEKSİ MENKUL KIYMET PİYASALARININ BİR NEDENİ MİDİR? BORSA İSTANBUL ÖRNEĞİ
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2015 Bu çalışmanın amacı uluslararası volatilite endeksi olarak kabul edilen VİX endekisinin, Borsa İstanbul üzerindeki etkisini ortaya koymaktır. Bu amaçla VİX endeksi ile Borsa İstanbul’u temsilen kullanılan BİST 100 endeksi arasındaki ilişki Granger ...
Abdulkadir Kaya, Ali Çoşkun
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On stock price overreactions: frequency, seasonality and information content
Journal of Applied Economics, 2019 This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990–2017.
Guglielmo Maria Caporale, Alex Plastun
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From Constant to Rough: A Survey of Continuous Volatility Modeling
Mathematics, 2023 In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field.
Giulia Di Nunno +3 more
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L’enseignement du grec et du latin : le paradoxe du mouvement
Kentron, 2009 The loss of interest in classical languages amongst young people is the subject of this article, which is based on remarks regarding the same phenomenon observed in the teaching of rhetoric in the Greek world of the first ...
Jean-Luc Vix
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The economic value of VIX ETPs [PDF]
Journal of Empirical Finance, 2019 Abstract The fairly new VIX ETPs have been promoted for providing effective and easily accessible diversification, while at the same time having large negative returns. We examine the economic value of using VIX ETPs for diversification of stock–bond portfolios.
Christensen, Kim +2 more
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Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures
Under the component GARCH model of Christoffersen et al. (2008), this research provides the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-risk premium feature in the fully persistent model of Christoffersen et
Hung-Wen Cheng ;Li-Han Chang ;Chien-Ling Lo;Jeffrey Tzuhao Tsai
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