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Construction of a volatility index from exchange-traded dollar-rupee options
Bhat, Aparna Prasad - In: Journal of Indian business research 14 (2022) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10013537567
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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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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Research on the efficacy of the iVIX index based on VIX pricing
Huang, Wenli; Zhang, Nan; Chen, Yong; Xu, Yueling - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 8, pp. 1670-1690
Persistent link: https://www.econbiz.de/10014567103
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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000767421
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Do liquidity and sampling methods matter in constructing volatility indices? : empirical evidence from Taiwan
Tzang, Shyh-weir; Hung, Chih-hsing; Wang, Chou-wen; … - In: International review of economics & finance : IREF 20 (2011) 2, pp. 312-324
Persistent link: https://www.econbiz.de/10009304121
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Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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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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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407