Results 131 to 140 of about 2,168 (228)

Determinants of Volatility: Calling It Quits on the VIX

, 2020
This thesis explores the usage of the Chicago Board Options Exchange’s Volatility Index (VIX) in the current literature as a metric for broad investor sentiment and market volatility.
Tchorbajian, Serena Alexandra
core  

Environmental policy and equity prices. [PDF]

PLoS One, 2023
Lehnert T.
europepmc   +1 more source

Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]

Entropy (Basel)
Yılmaz TE, Zehir C.
europepmc   +1 more source

Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index

Journal of Futures Markets
ABSTRACTThis paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
openaire   +1 more source

Corridor implied volatility and the variance risk premium in the Italian market

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers.
Silvia Muzzioli
core  

How climate change shapes global systemic risk transmission: A complex network approach. [PDF]

PLoS One
Zeng L, Lau WY.
europepmc   +1 more source

Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis. [PDF]

Econ Anal Policy, 2023
Mensi W, Vo XV, Ko HU, Kang SH.
europepmc   +1 more source

Three essays on the vix index

, 2018
Electronic Thesis or DissertationThis dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange’s (CBOE) index representing S&P 500 Index implied volatility.
Arnatt, Richard Anthony
core  

Can systematic skewness factors predict future interest rates: Evidence from China. [PDF]

PLoS One
Liang X, Sun Y.
europepmc   +1 more source

Does oil price uncertainty matter in stock market volatility forecasting? [PDF]

PLoS One, 2022
Qin P, Bai M.
europepmc   +1 more source