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Trading activity of VIX futures and options around FOMC announcements
Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014543990
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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 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
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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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Asymmetries of the intraday return-volatility relation
Badshah, Ihsan Ullah; Frijns, Bart; Knif, Johan; … - In: International review of financial analysis 48 (2016), pp. 182-192
Persistent link: https://www.econbiz.de/10011624483
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VIX and VIX futures pricing algorithms : cultivating understanding
Hancock, G. D. - In: Modern economy 3 (2012) 3, pp. 284-294
Persistent link: https://www.econbiz.de/10009705399
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Forecasting volatility and market returns using the CBOE Volatility Index and its options
Stanley, Spencer T.; Trainor, William J. - In: The journal of investment strategies 10 (2021) 3, pp. 65-77
Persistent link: https://www.econbiz.de/10013270053
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Macroeconomic announcements and the implied volatility index : evidence from India VIX
Shaikh, Imlak; Padhi, Puja - In: Margin: the journal of applied economic research 7 (2013) 4, pp. 417-442
Persistent link: https://www.econbiz.de/10011337346
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Call-put implied volatility spreads and option returns
Doran, James S.; Fodor, Andy; Jiang, Danling - In: Review of asset pricing studies 3 (2013) 2, pp. 258-290
Persistent link: https://www.econbiz.de/10010249050