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A first look at the properties of India's volatility index

Kumar, S. S. S. - In: International journal of emerging markets 7 (2012) 2, pp. 160-176

Persistent link: https://www.econbiz.de/10009548152

Spillover of fear : evidence from the stock markets of five developed countries

Tsai, I-C. - In: International review of financial analysis 33 (2014), pp. 281-288

Persistent link: https://www.econbiz.de/10010520408

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world …. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results …

Persistent link: https://www.econbiz.de/10011376746

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011333475

Is VIX an investor fear gauge in BRIC equity markets?

Sarwar, Ghulam - In: Journal of multinational financial management 22 (2012) 3, pp. 55-65

Persistent link: https://www.econbiz.de/10009629157

The linkage between the U.S. "fear index" and ADR premiums under non-frictionless stock markets

Esqueda, Omar A.; Luo, Yongli; Jackson, Dave - In: Journal of economics and finance 39 (2015) 3, pp. 541-556

Persistent link: https://www.econbiz.de/10011471137

Impact of uncertainty on high frequency response of the US stock markets to the Fed's policy surprises

Marfatia, Hardik A. - In: The quarterly review of economics and finance : journal … 54 (2014) 3, pp. 382-392

Persistent link: https://www.econbiz.de/10010492635

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010464790