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Modeling and predicting the market volatility index : the case of VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

) 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 can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

Persistent link: https://www.econbiz.de/10010478493

Investor sentiment and value and growth stock index options

Coakley, Jerry; Dotsis, George; Liu, Xiaoquan; Zhai, Jia - In: The European journal of finance 20 (2014) 10/12, pp. 1211-1229

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Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

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Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets

Biktimirov, Ernest N.; Wang, Chunrong - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 42-68

Persistent link: https://www.econbiz.de/10011687342

On forecasting Taiwanese stock index option prices : the role of implied volatility index

Wang, Jying-Nan; Liu, Hung-Chun; Chen, Lu-Jui - In: International journal of economics and finance 9 (2017) 9, pp. 133-136

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Regime-switching stochastic volatility model : estimation and calibration to VIX options

Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75

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Kou jump diffusion model : an application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 index options

Abbasi, Wajih; Hájek, Petr; Ismailova, Diana; … - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1918-1929

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Volatility forecasts for the RTS stock index : option-implied volatility versus alternative methods

Caporale, Guglielmo Maria; Teterkina, Daria - 2019

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Volatility leadership among index options

Figlewski, Stephen; Frommherz, Anja - In: The journal of derivatives : the official publication … 25 (2017) 2, pp. 43-60

Persistent link: https://www.econbiz.de/10011941221

Does the Hurst index matter for option prices under fractional volatility?

Funahashi, Hideharu; Kijima, Masaaki - In: Annals of finance 13 (2017) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10011944961