Results 61 to 70 of about 7,220 (197)

An empirical study on price discovery between VIX futures and VIX exchange trading products

, 2018
碩士本研究透過Lien and Shrestha (2009) 所提出的修正後資訊比例模型衡量不同市場對於價格發現的貢獻程度來探討2013年至2016年VIX期貨與VIX ETPs(VXX、VIXY)之間價格發現能力的強弱。在研究期間中，VECM顯示彼此間存在雙向的回饋機制，VXX領先VIX期貨，VIXY領先VIX期貨，VXX則領先VIXY；修正後資訊比例模型亦顯示VXX在價格發現中具有較強的主導地位。在迴歸分析中，發現在市場上波動程度增加時，反而會使VIX期貨之價格發現能力提升 ...
葉宗翰;Yeh, Tsung-Han
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A Term Structure Model for VIX Futures

, 2013
This study develops a term structure model for VIX futures. Instead of deriving the VIX futures price from a model for the instantaneous variance of the S&P 500 or a model for the VIX, the VIX futures price dynamics are specified exogenously.
Nossman, Marcus, Huskaj, Bujar,, Lund University.   +2 more
core   +2 more sources

Does Market Fear Forecast U.S. Economic Activity During the COVID-19 Crisis? Evidence from Time-Varying Asymmetric Causality and Wavelet Quantile Correlation Models

Journal of Statistical Theory and Applications (JSTA)
This study examines whether past values of the Chicago Board Options Exchange’s (CBOE)’s volatility/investor fear index (VIX), can forecast the future values of US weekly economic activity (WEA) index over the initial 59 weeks of the COVID-19 pandemic ...
Walid Bakry
doaj   +1 more source

Archéologie aérienne en Côte-d’Or en 2011 : les aléas d’une sécheresse précoce

Revue Archéologique de l’Est, 2012
The winter drought led to the discovery and documentation in spring 2011 of a number of protohistoric, Gallo-Roman and medieval sites. Large sites in Burgundy (Alésia, Autun, Mirebeau-sur-Bèze, Vix) have benefited from a thorough aerial survey that have ...
Alexandra Cordier
doaj   +1 more source

On the joint calibration of S&P 500 and VIX smiles : a challenge between two models [PDF]

, 2022
LAUREA MAGISTRALELa presenza di un mercato liquido dei derivati sulla volatilità, come i contratti future e le opzioni sull'indice VIX, ha reso necessario l'utilizzo di modelli che calibrino i prezzi di questi derivati congiuntamente con i prezzi delle ...
MAFFEI, CARLO
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Biopsia de cérvix: serie de casos

Salud Uninorte, 2013
Objetivo: Realizar una descripción de los resultados de los estudios de anatomía pa- tológica de biopsias de cérvix de pacientes atendidas en la Clínica Universitaria San Juan de Dios (Cartagena, Colombia).
Edgar E. Rivas-Perdomo
doaj  

VIX Futures Return Decomposition [PDF]

, 2019
University of Minnesota M.S. thesis. June 2019. Major: Applied Economics. Advisor: Glenn Pederson. 1 computer file (PDF); iv, 76 pages.VIX futures contracts have produced negative returns.
Ruetz , Michael
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Bitcoin Cycle through Markov Regime-Switching Model

Engineering Proceedings
We analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih, Wen-Tsung Huang, Pao-Peng Hsu   +2 more
doaj   +1 more source

The VIX Premium

The Review of Financial Studies, 2018
Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of mismeasurement: (i) ex ante premiums reliably predict ex post returns to VIX futures with a coefficient near one, and (ii) falling ex ante premiums predict increasing ex post ...
openaire   +1 more source

The Market for Volatility Trading; VIX Futures [PDF]

, 2007
This paper analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself.
Brenner, Menachem, Shu, Jinghong, Zhang, Jin E.   +2 more
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