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Implied volatility index for the Norwegian equity market

Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141

Persistent link: https://www.econbiz.de/10011624091

Implied volatility smirk and future stock returns : evidence from the German market

Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial finance 41 (2015) 12, pp. 1357-1379

Persistent link: https://www.econbiz.de/10011504242

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

Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model

Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920

Persistent link: https://www.econbiz.de/10012589699

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

Persistent link: https://www.econbiz.de/10011326944