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Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

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The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index

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The predictability of opening returns for the returns of the trading day : evidence from Taiwan futures market

Chen, Chun-nan - In: International review of economics & finance : IREF 25 (2013), pp. 272-281

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Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns

Capriotti, Alessio; Muzzioli, Silvia - 2024

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Does VPIN provide predictive information for realized volatility forecasting : evidence from Chinese stock index futures market

Wen, Conghua; Jia, Fei; Hao, Jianli - In: China finance review international 13 (2023) 2, pp. 285-303

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Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes

Narayanasamy, Arun; Panta, Humnath; Agarwal, Rohit - 2023

This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error...

Persistent link: https://www.econbiz.de/10014355125