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Boosting Food System Stability Through Technological Progress in Price and Supply Dynamics. [PDF]

Foods
Doran NM.
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Bootstrapping volatility spillover index

Communications in Statistics - Simulation and Computation, 2018
Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model.
Ji-Eun Choi, Dong Wan Shin
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Credit Volatility Indexes

SSRN Electronic Journal, 2020
This paper contains details for implementing credit spread variance pricing methodologies based on credit default swap (CDS) options. A model independent formula for expected volatility is available, based on the prices of vanilla CDS options (VCOs). However, VCOs are currently not traded, and their prices must be inferred from those of actively traded
Antonio Mele, Yoshiki Obayashi
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The Tail in the Volatility Index

SSRN Electronic Journal, 2011
Both volatility and the tail of the stock return distribution are impacted by discontinuities (“large jumps”) in the stock price process. In this paper, we construct model-free volatility and tail indexes in a manner that clearly distinguishes one from the other.
Nikunj Kapadia, Jian Du
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Forecasting the Volatility of Stock Price Index

Expert Systems with Applications, 2006
Accurate volatility forecasting is the core task in the risk management in which various portfolios’ pricing, hedging, and option strategies are exercised. Prior studies on stock market have primarily focused on estimation of stock price index by using financial time series models and data mining techniques.
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The information content of Chinese volatility index for volatility forecasting

Applied Economics Letters, 2020
In this paper, we investigate whether the model-free implied volatility index iVX officially launched by the Shanghai Stock Exchange has incremental explanatory power for future volatility in the S...
Zhe Li, Wei-Guo Zhang, Yue Zhang
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Index Volatility in Perspective

The Journal of Index Investing, 2010
As the number of indexes and index-based investment products expands, it is critical for investors to understand relative index volatility. This article discusses the issues to consider when evaluating index risk and shares insights and data from the author’s recent historical index volatility analysis. The research evaluates the risk of index exposure
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