Results 91 to 100 of about 3,614,788 (171)
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
, 2018 The CBOE volatility index, VIX, represents the market’s expected volatility over the next 30 days, and is supposed to increase when uncertainty rises.
Rosvold, Liv Rio, Ottesen, Sara Hovda
core +1 more source
Is the VIX futures market able to predict the VIX index? A test of the expectation hypothesis
, 2009 This paper tests the expectation hypothesis by using the volatility index VIX and the futures written on that index. Because the VIX index is negatively correlated with the S&P 500 index returns the VIX futures price should contain a negative risk ...
Nossman, Marcus, +2 more
core +2 more sources
U.S.‐China Tensions and Macroeconomic Fluctuations
The Manchester School, EarlyView.ABSTRACT Business cycles and macroeconomic fluctuations are influenced by various factors. This paper analyzes the impact of the U.S.‐China Tension Index (UCT) on macroeconomic fluctuations in 32 countries using time series models from January 1999 to February 2024. The VAR model reveals that UCT shocks generate financial volatility and fluctuations in
Luccas Assis Attílio
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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
The power of ethical investment in the context of political uncertainty
Journal of Applied Economics, 2019 In this paper we analyse a set of socially responsible investment (SRI) indices against their conventional counterparts in the US context. Using a data set that spans the Obama and Trump administrations, we aim to identify whether performance and ...
Lucía Morales +2 more
doaj +1 more source
Is There an Information Channel of Monetary Policy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Exploiting the heteroskedasticity of the changes in short‐term and long‐term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables.
Oliver Holtemöller +2 more
wiley +1 more source
Climate Shocks and Unemployment Claims
Scottish Journal of Political Economy, EarlyView.ABSTRACT Using a US state–level climate risk measure and the panel local projections framework, this study analyzes both linear and asymmetric effects of climate shocks on unemployment claims. The results provide strong evidence that climate shocks significantly increase both initial and continuing claims, with the linear estimates showing a stronger ...
Abeeb Olaniran +3 more
wiley +1 more source
Maliye ve Finans YazılarıThe study examines the formation of bubbles in the housing market using monthly data from 2010 to 2024 for Istanbul, Ankara, Izmir, and Türkiye. To investigate the existence of price bubbles, the SADF (Supremum Augmented Dickey-Fuller) and GSADF ...
Ayşegül Toy +2 more
doaj +1 more source
South African Journal of Economics, Volume 94, Issue 4, December 2026.ABSTRACT While local‐currency bond markets have become a dominant source of emerging‐market financing and an integral component of the global financial system, market‐observed measures of sovereign default risk are still based on foreign‐currency denominated debt.
Mulalo Mamburu
wiley +1 more source