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Crashes, volatility, and the equity premium : lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451
Persistent link: https://www.econbiz.de/10008737706
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The equity premium and the business cycles : the role of demand and supply shocks
Smith, Peter N.; Sorensen, Steffen; Wickens, Michael R. - 2009
Persistent link: https://www.econbiz.de/10003830175
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The impacts of index options on the underlying stocks : the case of the S&P 100
Liu, Shinhua - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1034-1046
Persistent link: https://www.econbiz.de/10003873836
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Stock market uncertainty and the stock-bond return relation
Connolly, Robert A.; Stivers, Christopher T.; Sun, Licheng - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 1, pp. 161-194
Persistent link: https://www.econbiz.de/10002699485
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Measuring and forecasting S&P 500 index-futures volatility using high-frequency data
Martens, Martin - In: The journal of futures markets 22 (2002) 6, pp. 497-518
Persistent link: https://www.econbiz.de/10001696643
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Impact of the federal open market committeeś meetings and scheduled macroeconomic news on stock market uncertainty
Nikkinen, Jussi; Sahlström, Petri - In: International review of financial analysis 13 (2004) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002066686
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Market volatility and the demand for hedging in stock index futures
Chang, Eric Chieh; Chou, Ray Yeutien; Nelling, Edward F. - In: The journal of futures markets 20 (2000) 2, pp. 105-125
Persistent link: https://www.econbiz.de/10001447452
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The role of oil futures intraday information on predicting US stock market volatility
Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …
Persistent link: https://www.econbiz.de/10013206077
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Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
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The volatility spillover effect between index options and their underlying markets : evidence from the US, the UK, and Taiwan
Chan, Chia-Ying; Peretti, Christian de; Wang, Ming-Chun; … - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 700-733
Persistent link: https://www.econbiz.de/10011779396