Results 211 to 220 of about 2,168 (228)

A test for change points under the roughness of stochastic volatility: the case of the VIX index

Applied Economics Letters, 2023
Qinwen Zhu, Xundi Diao, Chongfeng Wu
openaire   +1 more source

Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?

Resources Policy, 2021
Chao Liang, Muhammad Umar
exaly  

The VIX Index and Volatility-Based Global Indexes and Trading Instruments - A Guide to Investment and Trading Features

SSRN Electronic Journal, 2020
Matthew T. Moran, Berlinda Liu
openaire   +1 more source

Directly pricing VIX futures: the role of dynamic volatility and jump intensity

Applied Economics, 2022
Tianyi Wang, Mei Yu
exaly  

Pricing VIX options with volatility clustering

Journal of Futures Markets, 2020
Yong Ma
exaly  

Jump and volatility risk premiums implied by VIX

Journal of Economic Dynamics and Control, 2010
Jin-Chuan Duan
exaly  

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Journal of Financial Economics, 2019
Elise Gourier, Markus Leippold
exaly  

Joint pricing of VIX and SPX options with stochastic volatility and jump models

Journal of Risk Finance, 2015
Thomas Kokholm
exaly  

Volatility as an asset class: Holding VIX in a portfolio

Journal of Futures Markets, 2020
James S Doran
exaly  

On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management

Decision, 2015
Abhijeet Chandra, M Thenmozhi
exaly