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Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
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Leveraging a call-put ratio as a trading signal
Houlihan, Patrick; Creamer Guillén, Germán - In: Quantitative finance 19 (2019) 5, pp. 763-777
Persistent link: https://www.econbiz.de/10012194713
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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The volatility risk premium in the oil market
Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929
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Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.; Galakis, John; Vrontos, Ioannis D. - In: Quantitative finance 21 (2021) 10, pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
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Implied volatility sentiment : a tale of two tails
Félix, Luiz; Kräussl, Roman; Stork, Philip - In: Quantitative finance 20 (2020) 5, pp. 823-849
Persistent link: https://www.econbiz.de/10012262625
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Volatility information difference between CDS, options, and the cross section of options returns
Guo, Biao; Shi, Yukun; Xu, Yaofei - In: Quantitative finance 20 (2020) 12, pp. 2025-2036
Persistent link: https://www.econbiz.de/10012313548
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Coupled GARCH(1,1) model
Nie, Huasheng; Waelbroeck, Henri - In: Quantitative finance 23 (2023) 5, pp. 759-776
Persistent link: https://www.econbiz.de/10014304344