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Predicting volatility of stock indexes for option pricing on a small security market
Berglund, Tom; Hedvall, Kaj; Liljeblom, Eva - 1990
Persistent link: https://www.econbiz.de/10000816312
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462
Persistent link: https://www.econbiz.de/10011300430
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Modeling and predicting the market volatility index : the case of VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...
Persistent link: https://www.econbiz.de/10010478493
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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
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Dynamic interaction between historical and implied volatility in the Indian option market
Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144
Persistent link: https://www.econbiz.de/10012696739
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip - In: Review of derivatives research 25 (2022) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
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Research on the efficacy of the iVIX index based on VIX pricing
Huang, Wenli; Zhang, Nan; Chen, Yong; Xu, Yueling - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 8, pp. 1670-1690
Persistent link: https://www.econbiz.de/10014567103
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The impacts of oil price and exchange rate on Vietnamese stock market
Nguyen Tra Ngoc; Dat Thanh Nguyen; Nguyễn, Ngọc Vũ - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 8, pp. 143-150
Persistent link: https://www.econbiz.de/10012670633
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SENSEX price fluctuation forecasting comparison between global indices and companies making it
Sharma, Aviral; Bhatnagar, Vishal; Bansal, Abhay - In: Journal of global information management : an official … 26 (2018) 3, pp. 90-104
Persistent link: https://www.econbiz.de/10011926114