Results 261 to 270 of about 37,989 (306)

Geographical diversification with a World Volatility Index

Journal of Multinational Financial Management, 2015
Abstract This paper proposes a new ‘World Volatility Index’, coined WVIX, by constructing the first index that approximates the aggregate volatility level of the G20 countries. The empirical analysis makes use of the factor dynamic conditional correlation model – with an automated methodology to detect the number of factors – in order to (i) sum up ...
Chevallier, Julien, Aboura, Sofiane
openaire   +1 more source

A volatility index for comets

Icarus, 1992
The variations in total brightness of a comet when it is most active, near perihelion, are presently used as the bases of a volatility index (VI) for short-period (SP) and long-period (LP) comets. Volatility does not correlate with period among the LP comets, and thereby shows no 'aging' effect; similarly, the VI measurements are the same for SP and ...
openaire   +1 more source

The imprecision of volatility indexes [PDF]

, 2014
Concerns about sampling noise arise when a VIX estimator is computed by aggregating several imprecise implied volatility estimates. We propose a bootstrap strategy to measure the imprecision of a model based VIX estimator. We find that the imprecision of VIX is economically significant.
Rohini Grover, Ajay Shah
openaire  

The asymmetric relationship between volatility index and volatility-of-volatility index

Investment Analysts Journal, 2022
Adian McFarlane, Anupam Das, Young Cheol Jung   +2 more
openaire   +1 more source

Towards a fuzzy volatility index for the Italian market

2017 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE), 2017
The measurement of volatility is of fundamental importance in finance. The standard market practice adopted for the computation of a volatility index imposes to discard some option prices quoted in the market, resulting in a considerable loss of information. To overcome this drawback, we propose to resort to fuzzy regression methods in order to include
MUZZIOLI, Silvia, GAMBARELLI, LUCA, De Baets, Bernard   +2 more
openaire   +2 more sources

Forecasting stock index volatility

Applied Stochastic Models in Business and Industry, 2001
AbstractAccurate volatility forecasting is the key to successful risk analysis. In fact, volatility forecasts lie at the centre of many financial systems, such as value at risk modelling and pricing of derivative securities. This paper is concerned with how to construct stock index volatility predictors using the returns histories of the stocks that ...
Bramante, Riccardo, Luigi, Santamaria
openaire   +1 more source

Forecast improvements using a volatility index

Journal of Applied Econometrics, 1992
This paper explores the possibility of improved out of sample forecasting for stock returns and foreign exchange rates using observed nonlinearities in the two series. Forecasting is done using nonparametric techniques where important information is obtained from the current level of volatility in the series.
openaire   +1 more source

Volatility and stock price indexes

Applied Economics, 2013
The stochastic approach to index numbers has been successfully applied to the estimation of inflation, the world interest rate and international competitiveness. One distinct advantage of this approach is that it provides the whole distribution of the index, not simply one value. In this article, we extend the stochastic approach to the estimation of a
Kenneth W. Clements, H. Y. Izan, Yihui Lan   +2 more
openaire   +1 more source

Volatility Information in Index Option Demand

SSRN Electronic Journal, 2013
This paper provides evidence that demand for equity index options has predictive power for future volatility beyond current, lagged volatility and the VIX in widely available, low-frequency data. The predictive power increases prior to macroeconomic announcements and exhibits a positive relation with investor uncertainty about macroeconomic news ...
openaire   +1 more source

Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes

SSRN Electronic Journal, 2009
The purpose of this study is twofold: First, to investigate the asymmetric return-volatility phenomenon with newly adapted robust volatility indexes VIX, VXN, VDAX and VSTOXX. Second, we examine the dynamic implied volatility transmissions across the implied volatility indexes using techniques such as Granger causality, generalized impulse response ...
openaire   +1 more source