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Causal Relationship between FT-SE 100 Stock Index Futures Volatility and FT-SE 100 Index Options Implied Volatility

Dritsakis, Nikolaos - 2018

The primary objective of this paper is to examine the relationship between historical and implied volatility estimates in order to propose the nature of a model that predicts the future volatility. For this scope, we used non-overlapping clustering of observed futures volatility and implied...

Persistent link: https://www.econbiz.de/10012920150

Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility

Kalyvas, Lampros; Dritsakis, Nikolaos - In: Journal of financial management and analysis : … 30 (2017) 2, pp. 58-64

Persistent link: https://www.econbiz.de/10011991716

Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility

Kalyvas, Lampros; Dritsakis, Nicolaos - In: Journal of financial management and analysis : … 16 (2003) 1, pp. 20-26

Persistent link: https://www.econbiz.de/10001793468

The impact of COVID-19 on firm stock price volatility

Chamzallari, Marinela; Chantziaras, Antonios; Grose, Chris - In: Business Development and Economic Governance in …, (pp. 433-450). 2022

Persistent link: https://www.econbiz.de/10013415121

Forecasting volatility stock return : evidence from the Nordic stock exchanges

Dritsakis, Nikolaos; Savvas, Georgios - In: International journal of economics and finance 9 (2017) 2, pp. 15-31

Persistent link: https://www.econbiz.de/10011617883

Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market

Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10012436893

Does the choice of the multivariate GARCH model on volatility spillovers matter? : evidence from oil prices and stock markets in G7 countries

Kartsonakis-Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 5, pp. 164-182

Persistent link: https://www.econbiz.de/10012505769

Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks

Kartsonakis-Mademlis, Dimitrios; Dritsakis, Nikolaos - In: The Japanese economic review : the journal of the … 73 (2022) 4, pp. 647-677

Persistent link: https://www.econbiz.de/10013460293

The stock market - oil prices variability relationship in the USA : the financial crisis effect

Mademlis, Dimitrios Kartsonakis; Dritsakis, Nikolaos - In: International journal of computational economics and … 13 (2023) 2, pp. 129-152

Persistent link: https://www.econbiz.de/10014307712