Results 111 to 120 of about 2,929 (231)
The Influence of VIX Index in Taiwan Wealth Management Industry
, 2015 VIX Index was established by Chicago Board Options Exchange (CBOE) 1993 order to react how much of the wave was predicted by investors in stock market.
Huang, Huang-yao
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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
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
Understanding expectations formation for hand‐to‐mouth households: lessons from the financial crisis
The Scandinavian Journal of Economics, EarlyView.Abstract We study how poor hand‐to‐mouth and wealthy hand‐to‐mouth households in the United States form their expectations as compared to unconstrained households. To do so, we use monthly household data for the period 2005:2 to 2013:6 with information on the exact survey day for each household within a month.
Tufan Ekici +2 more
wiley +1 more source
"A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options" [PDF]
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility.
Michael McAleer +1 more
core +2 more sources
EconomiesComprehending 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 +3 more
doaj +1 more source
Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices
Journal of Forecasting, Volume 45, Issue 4, Page 1633-1651, July 2026.ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer +3 more
wiley +1 more source
Simple Expected Volatility (SEV) Index: Application to SET50 Index Options [PDF]
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility.
Michael McAleer +1 more
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On the Comovement of Contango and Backwardation Across Futures Commodity Markets
Journal of Futures Markets, Volume 46, Issue 6, Page 955-981, June 2026.ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi +2 more
wiley +1 more source
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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