Results 81 to 90 of about 7,220 (197)

Calculating the VIX in Excel

, 2008
The VIX, based on a weighted average of S&P 500 Index options that straddle a 30-day maturity, has become a popular volatility index. This manner of calculating the VIX emerged in September of 2003 and is documented with an example by the CBOE.
Arnold, Tom, Earl, Jr., John H
core   +1 more source

Modeling VIX And VIX Derivatives With Mean Reverting Models And Parameter Estimation Using Filter Methods [PDF]

, 2011
In this thesis, we study the mean reverting property of the VIX time series, and use the VIX process as the underlying. We employ various mean reverting processes, including the Ornstein-Uhlenbeck (OU) process, the Cox-Ingersoll-Ross (CIR) process and ...
Liu, Guoyuan
core  

Unveiling Inter-Market Reactions to Different Asset Classes/Commodities Pre- and Post-COVID-19: An Exploratory Qualitative Study

Economies
Comprehending intermarket relationships among asset classes/commodities and the changing dynamics among the gold, bitcoin, and oil markets under high or low-volatility indexes is now imperative for investors.
Siddhartha S. Bannerjee, Rekha Pillai, Mosab I. Tabash, Mujeeb Saif Mohsen Al-Absy   +3 more
doaj   +1 more source

Causality in the VIX futures market

, 2012
This study examines the price-discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle-Granger cointegration test with an error correction mechanism
Zhang, JE, Shu, J
core   +1 more source

Demand risks and term structure of volatility index futures

Journal of Management Science and Engineering
In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities.
Xinglin Yang, Juan Huang
doaj   +1 more source

SPECTRAL METHODS FOR VOLATILITY DERIVATIVES

In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio, Mijatovic, Aleksandar
core  

Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? [PDF]

PLoS One, 2023
Yun SJ, Choi SY, Kim YS.
europepmc   +1 more source

The Informational Association between the S&P 500 Index and VIX Options Markets

, 2013
[[abstract]]We set out in this study to investigate the informational association between the S&P 500 index and VIX options markets by examining the relationship between trading activity in VIX options and changes in the VIX in a high-frequency framework.
Kao, Dian-Xuan;Tsai, Wei-Che;Wang, Yaw-Huei
core  

Evaluation of Dynamics of the VIX Index Via Heston Model.

A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced.
Fjodorovs, Jegors, Matvejevs, Andrejs
core  

O índice VIX aplicado ao mercado brasileiro [PDF]

, 2019
Trabalho de Conclusão de Curso (graduação)—Universidade de Brasília, Departamento de Economia, 2019.O presente trabalho teve como objetivo aplicar a metodologia de cálculo do índice VIX ao Brasil utilizando as opções sobre o índice IBOVESPA.
Simões, Daniel Victor de Araújo
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