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Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index
Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Journal of financial management and analysis : … 28 (2015) 2, pp. 35-49
Persistent link: https://www.econbiz.de/10011535334
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
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Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920
Persistent link: https://www.econbiz.de/10012589699
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The role of oil futures intraday information on predicting US stock market volatility
Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …
Persistent link: https://www.econbiz.de/10013206077
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Does intraday time-series momentum exist in Chinese stock index futures market?
Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012438384
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Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141
Persistent link: https://www.econbiz.de/10011624091
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The evolving dynamics of the Australian SPI 200 implied volatility surface
Tanha, Hassan; Dempsey, Michael - In: Journal of international financial markets, … 43 (2016), pp. 44-57
Persistent link: https://www.econbiz.de/10011673487
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410
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Implied correlation indices and volatility forecasting
Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588
Persistent link: https://www.econbiz.de/10011713025
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Does VPIN provide predictive information for realized volatility forecasting : evidence from Chinese stock index futures market
Wen, Conghua; Jia, Fei; Hao, Jianli - In: China finance review international 13 (2023) 2, pp. 285-303
Persistent link: https://www.econbiz.de/10014312403