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A Multiple Indicators Model For Volatility Using Intra-Daily Data.

Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2003

index options as measured by VIX. …

Persistent link: https://www.econbiz.de/10005812865

Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Gallo, Giampiero; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...

Persistent link: https://www.econbiz.de/10005731535

GARCH-based Volatility Forecasts for Market Volatility Indices

Cecconi, Massimiliano; Gallo, Giampiero M.; Lombardi, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2002

which summarize the implied volatility of widely traded market index options. One such index is the so-called VXN, an … average of 30-day ahead implied volatilities of the options written on the NASDAQ-100 Index. In this paper we show how …

Persistent link: https://www.econbiz.de/10005549317