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The time dimension of volatility : implications for option strategy design

Hill, Joanne M. - In: The journal of derivatives : JOD 29 (2022) 4, pp. 97-109

Persistent link: https://www.econbiz.de/10014231053

Machine learning portfolio allocation

Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are …

Persistent link: https://www.econbiz.de/10014433682

Intraday trading activities and volatility in round-the-clock futures markets

Kao, Erin H.; Fung, Hung-gay - In: International review of economics & finance : IREF 21 (2012) 1, pp. 195-209

Persistent link: https://www.econbiz.de/10009486128

The role of intra-day and inter-day data effects in determining linear and nonlinear granger causality between Australian futures and cash index markets

Eldridge, Robert M.; Peat, Maurice; Stevenson, Maxwell John - 2003

Persistent link: https://www.econbiz.de/10001734845

VIX Futures As a Market Timing Indicator

Fassas, Athanasios - 2020

This study contributes to the age-old question of whether stock market returns are predictable, by studying the relationship of VIX futures term structure and future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has...

Persistent link: https://www.econbiz.de/10012852170

Time Dependent Volatility in Futures Contract Options

Chen, Jilong - 2018

In this paper a pricing formula is derived for futures options in Schwartz 1997 two factor model with time dependent … can be used to find backwards the results of time dependent spot volatility with a few market data. The results of time … dependent spot volatility can be easily and quickly obtained in Matlab. We also explain why the result of time dependent spot …

Persistent link: https://www.econbiz.de/10012930107