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Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007

This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...

Persistent link: https://www.econbiz.de/10011807372

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003520954

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of banking & finance 40 (2014), pp. 1-10

Persistent link: https://www.econbiz.de/10010402334

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of Banking & Finance 40 (2014) C, pp. 1-10

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as...

Persistent link: https://www.econbiz.de/10010738276

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - Escola de Economia de São Paulo (EESP), Fundação … - 2013

Persistent link: https://www.econbiz.de/10011127185