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Stock index volatility expectations implied by call options premia

Rindell, Krister - 1989

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Pricing kernel monotonicity and conditional information

Linn, Matthew; Shive, Sophie; Shumway, Tyler - In: The review of financial studies 31 (2018) 2, pp. 493-531

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Implied correlation indices and volatility forecasting

Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588

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Effects of index option introduction on shock index volatility : a procedure for empirical testing based on SSC-GARCH models

Becchetti, Leonardo; Caggese, Andrea - In: Applied financial economics 10 (2000) 3, pp. 323-341

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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