Results 51 to 60 of about 7,220 (197)
The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
Borsa Istanbul Review, 2015 The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear,
Imlak Shaikh, Puja Padhi
doaj +1 more source
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures [PDF]
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure ...
Michael McAleer +3 more
core +2 more sources
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
Modern Economy, 2012 This article reviews the development of the S&P 500 volatility index and uses market information to develop algorithms which aid in clarifying some of the salient points in the determination of an index value. Understanding the pertinent points provides insight into the interpretation and limitations of the usefulness of the VIX and other VIX-type ...
openaire +2 more sources
Interdependence between Islamic capital market and money market: Evidence from Indonesia
Borsa Istanbul Review, 2014 This study investigate VAR Toda–Yamamoto causality test between macroeconomic variables and Islamic financial market. The purpose of this study is to analyze the information content of Islamic capital market and money market return with respect to ...
Imam Wahyudi, Gandhi Anwar Sani
doaj +1 more source
An Empirical Study on Price Discovery between VIX Futures and VIX Exchange Trading Products
This study uses the modified information share (MIS) approach of Lien and Shrestha (2009) to measure relative price discovery ability between VIX futures and VIX ETPs (VXX and VIXY) during 2012 to 2016.
洪瑞成;邱建良;葉宗翰
core +1 more source
Serbian Journal of ManagementThis study examines the relations of Bitcoin (BTC) prices and fluctuations with gold, USD, oil, VIX index, hedging, and diversification features in Turkiye.
Bilgehan Tekin +2 more
doaj +1 more source
Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures [PDF]
, 2016 First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX-VXF) perform different roles in asset pricing.
Sandri, Matteo +6 more
core +1 more source
, 2014 This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactormodels. Exponential and hump volatility functions with one- to three-factor models of the VIX evolutionare used to examine their pricing for VIX ...
Yueh-Neng Lin
core
Cryptocurrency Momentum and VIX premium
The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market.
Hsuan-Ling Chang, Wei-Ying Nie, Li-Han Chang, Hung-Wen Cheng, Kuang-Chieh Yen
core +1 more source
Ekonomi, Politika & Finans Araştırmaları DergisiBu çalışma, DeFi (merkeziyetsiz finans) piyasaları, emtia piyasaları ve korku endeksi (VIX) ile kırılgan beşli ülkelerin (Brezilya, Hindistan, Endonezya, Türkiye ve Güney Afrika) borsa fiyatları arasındaki dinamik ilişkileri zaman ve frekans boyutunda ...
Meltem Kılıç +2 more
doaj +1 more source