Results 31 to 40 of about 3,614,788 (171)

Bitcoin Cycle through Markov Regime-Switching Model

Engineering Proceedings
We analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih, Wen-Tsung Huang, Pao-Peng Hsu   +2 more
doaj   +1 more source

Cross-sectional volatility index as a proxy for the VIX in an Asian market

Cogent Economics & Finance, 2017
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied ...
Futeri Jazeilya Md Fadzil, John G. O’Hara, Wing Lon Ng   +2 more
doaj   +1 more source

The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact

Journal of Futures Markets, EarlyView.
ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel, Lars Stentoft, Xize Ye   +2 more
wiley   +1 more source

Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets

Cogent Economics & Finance, 2020
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the ...
Jalaj Pathak, Soumya G. Deb
doaj   +1 more source

Tail Risk Transmission in Agricultural and Energy Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines downside hedging, tail diversification, and extreme tail risk transmission between crude oil and agricultural commodity futures over two decades. We develop complementary indicators of downside dependence, including sign‐switching frequency and persistence, to assess tail risk dynamics, hedging effectiveness, and associated
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey, Roberto Casarin, Luigi Grossi   +3 more
wiley   +1 more source

Brexit and Its Impact on EU Financial Markets

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin, Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad   +3 more
wiley   +1 more source

Do sentiment indices impact the premium of prominent pricing factors?

Cogent Economics & Finance, 2018
This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes
Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Ume Habibah   +2 more
doaj   +1 more source

The Relationship Among Climate Policy Uncertainty and Energy Markets: Fossil Versus Renewable and Low‐Carbon Assets

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper investigates the intricate relationship between climate policy uncertainty (CPU) and energy market dynamics, focusing on fossil‐based and renewable/low‐carbon energy assets. Utilising a comprehensive dataset spanning from April 1987 to December 2023, comprising monthly observations of CPU, stock market returns, spot oil prices and ...
Dimitrios Asteriou, Anastasia Dimiski
wiley   +1 more source

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX [PDF]

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied ...
Michael McAleer, Kosuke Oya, Isao Ishida
core   +2 more sources

FARKLI KITALARDA YER ALAN BORSA ENDEKSLERİNİN VIX(KORKU) ENDEKSİ İLE İLİŞKİSİ

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2020
Bu çalışma küresel korku endeksi olarak ifade edilen VIX endeksi ile farklı kıtalarda yer alan gelişmiş ve gelişmekte olan ülkelere ait borsa endekslerinin VIX endeksi ile olan ilişkilerini analiz etmeyi amaçlamaktadır.
Serdar Ögel, Mehmet Fındık
doaj   +1 more source