Results 111 to 120 of about 2,168 (228)
Does implied volatility reflect a wider information set than econometric forecasts? [PDF]
Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility.
James Curchin +2 more
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How Tether Depegging Affects Cryptocurrency Returns
Accounting &Finance, Volume 66, Issue 2, Page 1101-1129, June 2026.ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley +2 more
wiley +1 more source
ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity
European Financial Management, Volume 32, Issue 3, Page 1005-1040, June 2026.ABSTRACT We examine the impact of risk aversion, ambiguity, and uncertainty (geopolitical and economic) on the ESG thematic bond markets in emerging countries. We analyze ESG sovereign (both USD and local currency denominated) and corporate bond markets on the aggregate and regional levels.
Nebojsa Dimic +3 more
wiley +1 more source
Can cryptocurrency fear influence technology firm investors?
International Review of Economics & FinanceThis paper examines the dynamic spillovers between the VIX stock sentiment index, the Cryptocurrency Fear & Greed Index, and the returns of leading high-tech firms from 2018 through 2024.
Nikolaos Kyriazis, Shaen Corbet
doaj +1 more source
Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network [PDF]
This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction-of-change of the market in the case of the NASDAQ composite index.
Bekiros, S., Georgoutsos, D.
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Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2017 Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki incelenecektir.
Veysel KULA, Ender BAYKUT
doaj
The Relationship Between the Volatility of the S&P 500 and CBOE Volatility Index (VIX)
International Journal of Social Science and Economic ResearchThis study investigates the bidirectional Granger causation between the CBOE Volatility Index (VIX) and the volatility of the S&P 500 Index utilizing data obtained from Yahoo Finance. The GARCH (1,1) model is employed for the estimation of conditional volatility.
openaire +1 more source
Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures
Under the component GARCH model of Christoffersen et al. (2008), this research provides the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-risk premium feature in the fully persistent model of Christoffersen et
Hung-Wen Cheng ;Li-Han Chang ;Chien-Ling Lo;Jeffrey Tzuhao Tsai
core +1 more source
Forecasting efficiency of implied volatility and the intraday high-low price range in Taiwan stock market [PDF]
, 2012 [[abstract]]The paper compares the efficacy of high low range volatility and implied volatility indexes in volatility forecasting. VIX and VXO, the constructed volatility indexes of Taiwan stock market, are usually believed to deliver effective forecasts
臧仕維;Tzang, Shyh-Weir;Chih-Hsing Hung;David So-De Hsyu
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