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Indicative approaches in forecasting of industry indexes
Grigorieva, Elena Mikhailovna; Valkov, Dmitry Sergeevich - In: International journal of economic policy in emerging … 12 (2019) 4, pp. 362-376
Persistent link: https://www.econbiz.de/10012251132
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Tail comovements of implied volatility indices and global index futures returns predictability
Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014463335
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The forecast quality of CBOE implied volatility indexes
Corrado, Charles Joseph; Miller, Thomas W. - 2004
Persistent link: https://www.econbiz.de/10002120589
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The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index
Clements, Adam; Liao, Yin - 2014
Persistent link: https://www.econbiz.de/10011343882
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Analyst responses to stock-index adjustments : evidence from MSCI Taiwan Index additions
Tu, Chia-jung; Chang, Yuanchen - In: Review of financial economics : RFE 21 (2012) 2, pp. 82-89
Persistent link: https://www.econbiz.de/10009666032
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LPPLS bubble indicators over two centuries of the S&P 500 index
Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016
S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S …
Persistent link: https://www.econbiz.de/10011514490
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Investor attention, index performance, and return predictability
Vozlyublennaia, Nadia - In: Journal of banking & finance 41 (2014), pp. 17-35
Persistent link: https://www.econbiz.de/10010407999
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The forecast quality of CBOE implied volatility indexes
Corrado, Charles Joseph; Miller, Thomas W. - In: The journal of futures markets 25 (2005) 4, pp. 339-373
Persistent link: https://www.econbiz.de/10002647798
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Skew index : descriptive analysis, predictive power, and short-term forecast
Mora-Valencia, Andrés; Rodríguez-Raga, Santiago; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012821304
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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien - 2016
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10013007386