Analysis of the Time Series Development of the VIX Index and VIX Futures
Ve své diplomové práci se zaměřuji na modelování časové řady indexu VIX a VIX futures. V úvodu si vyslětlíme používané pojmy spojené s indexem VIX. Následně si popíšeme index VIX a jeho deriváty.
Boháčková, Jana
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Financial InnovationThis study investigates the relationships between agricultural spot markets and external uncertainties through multifractal detrending moving-average cross-correlation analysis (MF-X-DMA).
Ying-Hui Shao +3 more
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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.
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Cointegration and granger causality between Implied Volatility (VIX) index and Istanbul Stock Exchange (BIST) 100 ındex [PDF]
, 2015 Finansal serbestleşmeye bağlı olarak, finansal piyasalar birlikte hareket etmeye başlamıştır. Finansal piyasaların entegre olmasından yola çıkılarak yapılan bu çalışmanın amacı, BIST 100 endeksi ile VIX endeksi arasındaki nedensellik ilişkisini tespit ...
Kaya, Emine
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Option valuation on VIX index using fast Fourier transform
This thesis focuses on the analysis of VIX options using the Fourier transform, a tool commonly used in mathematics and physics. The VIX index, known as the "fear index," measures the expected market volatility for the next 30 days and is derived from ...
Bui, Thi Ha Vi
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Cryptocurrency Momentum and VIX premium
The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market.
Hsuan-Ling Chang, Wei-Ying Nie, Li-Han Chang, Hung-Wen Cheng, Kuang-Chieh Yen
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Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure. [PDF]
J Econ Asymmetries, 2023 Papadamou S +3 more
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An empirical study of application of HAR model in forecasting VIX index
, 2018 碩士根據Corsi（2004）的異質性自我迴歸模型(HAR)及修正後HAR模型(HAR-GARCH)來探討2012年7月至2016四年半間VIX指數的波動性預測，並運用MAE、MSE統計損失函數來評估其預測績效；本研究同時加入已實現波動VIX期貨、已實現偏態、已實現峰態、已實現波動VIX指數、VIX波動率之風險溢酬等，探討是否影響VIX指數的波動性預測。 在研究期間中，透過HAR及HAR-GARCH模型能夠有效的預測樣本外VIX指數，迴歸結果發現已實現波動率VIX期貨 ...
伍躍恆;Wu, Yueh-Heng
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Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]
Entropy (Basel)Yılmaz TE, Zehir C.
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Integrating macroeconomic and technical indicators into forecasting the stock market: a hybrid approach for efficient feature selection. [PDF]
Sci RepNabil A +3 more
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