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Volatility and stock price indexes

Clements, Kenneth W.; Izan, H. Y.; Lan, Yihui - In: Applied economics 45 (2013) 22/24, pp. 3255-3262

Persistent link: https://www.econbiz.de/10010345452

Early news is good news : the effects of market opening on market volatility

Gallo, Giampiero M.; Pacini, Barbara - 1998

Persistent link: https://www.econbiz.de/10000993737

The quality of market volatility forecasts implied by S&P 100 index option prices

Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345

Persistent link: https://www.econbiz.de/10001375188

Early news is good news : the effects of market opening on market volatility

Gallo, Giampiero M. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4

Persistent link: https://www.econbiz.de/10001769681

Early news is good news : the effects of market opening on market volatility

Gallo, Giampiero M.; Pacini, Barbara - 1998

Persistent link: https://www.econbiz.de/10013420167

High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence

Farokhnia, Kia; Osterrieder, Joerg - 2023

volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial … between the VIX spot and the implied volatility of standard & Poor’s 500 options, suggesting a volatility feedback effect. The …

Persistent link: https://www.econbiz.de/10014361986