Results 101 to 110 of about 2,168 (228)
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
Demand risks and term structure of volatility index futures
Journal of Management Science and EngineeringIn this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities.
Xinglin Yang, Juan Huang
doaj +1 more source
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
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio, Mijatovic, Aleksandar
core
AN EMPIRICAL ANALYSIS OF THE VOLATILITY INDEX (VIX) AND STOCK MARKETS IN DEVELOING COUNTRIES
, 2022 Korku Endeksi (VIX), finansal piyasalarda sermaye piyasası araçlarının gelecekte beklenen hareketlerinin tahmini için kullanılan önemli göstergelerden biridir.
Münyas, Turgay
core
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, Volume 46, Issue 6, Page 1053-1078, June 2026.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
Modeling and predicting the CBOE market volatility index [PDF]
This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE).
Marcelo Cunha Medeiros +2 more
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Journal of Statistical Theory and Applications (JSTA)This study examines whether past values of the Chicago Board Options Exchange’s (CBOE)’s volatility/investor fear index (VIX), can forecast the future values of US weekly economic activity (WEA) index over the initial 59 weeks of the COVID-19 pandemic ...
Walid Bakry
doaj +1 more source
Unsupervised Time‐Event Probabilistic Classification Using Large Panels of Time Series
Statistical Analysis and Data Mining: An ASA Data Science Journal, Volume 19, Issue 3, June 2026.ABSTRACT This study presents a framework to perform unsupervised time‐event probabilistic classification using time series data of large cross‐sectional dimension. These datasets often exhibit complexities such as non‐linearities, structural breaks, asynchronicity, missing data, and outliers; which hampers their analysis and modeling.
Máximo Camacho +2 more
wiley +1 more source
Abacus, Volume 62, Issue 2, Page 422-468, June 2026.This study examines whether comparable financial information can mitigate differences between individual and institutional investors’ trading behaviour, particularly behaviour that is shaped by investor sentiment. The results indicate that the higher the comparability, the smaller the gap in trading behaviour driven by investor sentiment between ...
Eun Hye Jo, Jung Wha (Jenny) Lee
wiley +1 more source