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The VIX Index : forecasting Power and Perfomance in a Risk Management Framework

Bongiovanni, Alessio; De Vincentiis, Paola; Isaia, Eleonora - In: Journal of financial management, markets and institutions 4 (2016) 2, pp. 129-144

Persistent link: https://www.econbiz.de/10011954500

The information content of alternate implied volatility models : case of Indian markets

Kumar, A. Vinay; Jaiswal, Shikha - In: Journal of emerging market finance 12 (2013) 3, pp. 293-321

Persistent link: https://www.econbiz.de/10010360587

New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based

Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10012587118

A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process

Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773

Persistent link: https://www.econbiz.de/10012616856

The information content of intraday implied volatility for volatility forecasting

Wang, Yaw-Huei; Wang, Yun-Yi - In: Journal of forecasting 35 (2016) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10011580247

Price discovery in the volatility index option market : a univariate GARCH approach

Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494881

Realized GARCH, CBOE VIX, and the volatility risk premium

Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223

Persistent link: https://www.econbiz.de/10014526311

A non-linear dynamic model of the variance risk premium

Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556

Persistent link: https://www.econbiz.de/10011499758

Risk Premia and the VIX Term Structure

Johnson, Travis L. - 2018

The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes … in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this … information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …

Persistent link: https://www.econbiz.de/10012937549

Time-dependent lead-lag relationships between the VIX and VIX futures markets

Yang, Yan-Hong; Shao, Ying-Hui - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012632213