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Stochastic volatility models for the implied correlation index : evidence, properties and pricing

Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438998

Tail comovements of implied volatility indices and global index futures returns predictability

Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463335

A Testing of Lead-Lag Relationship between Nifty Spot and Futures Index Returns and Volatility

Patra, Dr. Govind; Mohapatra, S R - 2022

interdependence (in both direction) and therefore symmetric spillovers among the stock return volatility in the spot and futures …

Persistent link: https://www.econbiz.de/10014244650

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

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

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

Persistent link: https://www.econbiz.de/10014295230

Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance

Liu, Hsiang-Hsi; Lin, Yu-Cheng - In: Bulletin of applied economics 8 (2022) 1, pp. 121-148

Persistent link: https://www.econbiz.de/10013271045

Hedging with future : multivariante dynamic conditional correlation GARCH

Kolokolov, Aleksey - In: Market risk and financial markets modeling, (pp. 63-72). 2012

Persistent link: https://www.econbiz.de/10009514454