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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
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A Dynamic Copula Approach to Recovering The Index Implied Volatility Skew
Fengler, Matthias R. - 2013
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …
Persistent link: https://www.econbiz.de/10013092464
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The international spillover behaviour of implied volatilities and forecasting ability of spillover indices
Kae-Yih, Tzeng - In: Applied economics 55 (2023) 48, pp. 5719-5735
Persistent link: https://www.econbiz.de/10014335666
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Intraday index volatility : evidence from currency adjusted stock indices
Jalbert, Terrance - In: The journal of applied business research 31 (2015) 1, pp. 17-28
Persistent link: https://www.econbiz.de/10010502685
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Credit default swaps and equity prices : the iTraxx CDS index market
Byström, Hans - In: Credit risk : models, derivatives, and management, (pp. 69-83). 2008
Persistent link: https://www.econbiz.de/10003718323
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Which explains an equity index's return better, the change in its own implied volatility or that for a broader index?
Yu, Susana; Leistikow, Dean - In: Journal of investment management : JOIM 7 (2009) 3, pp. 66-80
Persistent link: https://www.econbiz.de/10003874377
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The calm after the storm : implied volatility and future stock index returns
Lubnau, Thorben Manfred; Todorova, Neda - In: The European journal of finance 21 (2015) 13/15, pp. 1282-1296
Persistent link: https://www.econbiz.de/10011419879
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On the relationship between implied volatility index and realized return volatility
Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 225-235
Persistent link: https://www.econbiz.de/10011420602
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Return volatility movements in spot and futures markets : evidence from intraday behavior of the S&P 500 index
Chen, Jeng-hong - In: The international journal of business and finance … 8 (2014) 3, pp. 95-107
Persistent link: https://www.econbiz.de/10010241912
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Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
Zhou, Yinggang - In: Journal of banking & finance 38 (2014), pp. 216-228
Persistent link: https://www.econbiz.de/10010340777