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SPECTRAL METHODS FOR VOLATILITY DERIVATIVES [PDF]
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
Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Michael McAleer +3 more
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Yatırımcı duyarlılığı ve BIST100 endeksi arasındaki ilişki: Toda Yamamoto nedensellik uygulaması [PDF]
Bu çalışma, Borsa İstanbul 100 getiri endeksi ile yatırımcı duyarlılığı arasındaki ilişkiyi incelemeyi hedeflemektedir. Mayıs 2012 - Mart 2024 dönemini kapsayan bu araştırmada, BIST-100 Getiri Endeksi ile yatırımcı duyarlılığını yansıtan Tüketici Güven ...
Gül, Semih +2 more
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Do VIX futures contribute to the valuation of VIX options?
Journal of Futures Markets, 2022Chen Tong, Zhuo Huang, Tianyi Wang
exaly
VIX option‐implied volatility slope and VIX futures returns
Journal of Futures Markets, 2022Xinfeng Ruan, Jin Zhang, Jungah Yoon
exaly
Time-dependent lead-lag relationships between the VIX and VIX futures markets
North American Journal of Economics and Finance, 2020exaly