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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
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The efficiency of the VIX futures market : a panel data approach
Fassas, Athanasios P.; Siriopoulos, Costas - In: The journal of alternative investments 14 (2011/12) 3, pp. 55-65
Persistent link: https://www.econbiz.de/10009501184
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Predicting volatility of the Shanghai silver futures market : what is the role of the U.S. options market?
Luo, Xingguo; Ye, Zinan - In: Finance research letters 15 (2015), pp. 68-77
Persistent link: https://www.econbiz.de/10011552969
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Forecasting fed cattle, feeder cattle, and corn cash price volatility : the accuracy of time series, implied volatility, and composite approaches
Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H. - In: Journal of agricultural and applied economics 33 (2001) 3, pp. 523-538
Persistent link: https://www.econbiz.de/10001651333
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Forecasting gold futures market volatility using macroeconomic variables in the United States
Fang, Libing; Yu, Honghai; Xiao, Wen - In: Economic modelling 72 (2018), pp. 249-259
Persistent link: https://www.econbiz.de/10012100333
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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
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Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link
Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014528750
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The price of higher order catastrophe insurance : the case of VIX options
Eraker, Bjørn; Yang, Aoxiang - In: The journal of finance : the journal of the American … 77 (2022) 6, pp. 3289-3337
Persistent link: https://www.econbiz.de/10013464255
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Volmageddon and the failure of short volatility products
Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic - 2021
The rapid growth of exchange traded products (ETPs) has raised concerns about their implications for financial stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we describe this “Volmageddon” event and illustrate the...
Persistent link: https://www.econbiz.de/10012585893