IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v105y2001i1p5-26.html
   My bibliography  Save this item

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
  2. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
  3. Becker, Ralf & Clements, Adam E., 2008. "Are combination forecasts of S&P 500 volatility statistically superior?," International Journal of Forecasting, Elsevier, vol. 24(1), pages 122-133.
  4. repec:lan:wpaper:3046 is not listed on IDEAS
  5. Jui-Cheng Hung & Tien-Wei Lou & Yi-Hsien Wang & Jun-De Lee, 2013. "Evaluating and improving GARCH-based volatility forecasts with range-based estimators," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 4041-4049, October.
  6. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  7. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  8. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Stavros Degiannakis, George Filis, and Renatas Kizys, 2014. "The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  10. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  11. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  12. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
  13. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  14. Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
  15. Lim, Dominic & Durand, Robert B. & Yang, Joey Wenling, 2014. "The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008," Global Finance Journal, Elsevier, vol. 25(3), pages 169-180.
  16. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  17. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
  18. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
  19. Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," NCER Working Paper Series 66, National Centre for Econometric Research.
  20. Luo, Xingguo & Ye, Zinan, 2015. "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, vol. 15(C), pages 68-77.
  21. Bartosz Łamasz & Natalia Iwaszczuk, 2020. "The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market," Energies, MDPI, vol. 13(20), pages 1-23, October.
  22. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
  23. Becker, Ralf & Clements, Adam E. & White, Scott I., 2007. "Does implied volatility provide any information beyond that captured in model-based volatility forecasts?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2535-2549, August.
  24. Chang, Chuang-Chang & Hsieh, Pei-Fang & Wang, Yaw-Huei, 2010. "Information content of options trading volume for future volatility: Evidence from the Taiwan options market," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 174-183, January.
  25. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
  26. Turan Bali, 2007. "Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions," Annals of Operations Research, Springer, vol. 151(1), pages 151-178, April.
  27. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
  28. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  29. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
  30. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
  31. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  32. Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019. "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 16-36.
  33. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
  34. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
  35. Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
  36. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
  37. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  38. Äijö, Janne, 2008. "Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices," Global Finance Journal, Elsevier, vol. 18(3), pages 290-302.
  39. Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, September.
  40. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
  41. Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
  42. Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009. "The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks," CFR Working Papers 09-07, University of Cologne, Centre for Financial Research (CFR).
  43. Wing Hong Chan & Ranjini Jha & Madhu Kalimipalli, 2009. "The Economic Value Of Using Realized Volatility In Forecasting Future Implied Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 231-259, September.
  44. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "The impact of oil price shocks on the stock market return and volatility relationship," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 41-54.
  45. Luo, Jiawen & Klein, Tony & Walther, Thomas & Ji, Qiang, 2021. "Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning," QBS Working Paper Series 2021/04, Queen's University Belfast, Queen's Business School.
  46. Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  47. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Bank of Finland Research Discussion Papers 19/2010, Bank of Finland.
  48. repec:lan:wpaper:3324 is not listed on IDEAS
  49. Ralf Becker & Adam Clements & Robert O'Neill, 2018. "A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns," Econometrics, MDPI, vol. 6(1), pages 1-27, February.
  50. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," LIDAM Discussion Papers CORE 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  51. Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
  52. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
  53. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  54. Kemper, Kris & Lee, Allissa & Simkins, Betty J., 2012. "Diversification revisited," Research in International Business and Finance, Elsevier, vol. 26(2), pages 304-316.
  55. Sven Husmann & Andreas Stephan, 2007. "On estimating an asset's implicit beta," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 961-979, October.
  56. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics.
  57. Gil-Alana, Luis A. & Mudida, Robert & Yaya, OlaOluwa S & Osuolale, Kazeem & Ogbonna, Ephraim A, 2019. "Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach," MPRA Paper 93941, University Library of Munich, Germany.
  58. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
  59. Li, Xingyi & Zakamulin, Valeriy, 2020. "The term structure of volatility predictability," International Journal of Forecasting, Elsevier, vol. 36(2), pages 723-737.
  60. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
  61. Álvaro Cartea & Dimitrios Karyampas, 2016. "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 929-950, June.
  62. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  63. Yue Chen & Juan Lin & Ximing Wu, 2022. "Revisiting the return‐volatility relationship of exchange rates: New evidence from offshore RMB," Pacific Economic Review, Wiley Blackwell, vol. 27(3), pages 277-294, August.
  64. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
  65. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics.
  66. Turan G. Bali & Lin Peng, 2006. "Is there a risk–return trade‐off? Evidence from high‐frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198, December.
  67. Becker Ralf & Clements Adam E & Hurn Stan, 2011. "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-23, May.
  68. Dimos Kambouroudis & David McMillan & Katerina Tsakou, 2019. "Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility," Working Papers 2019-03, Swansea University, School of Management.
  69. Rohini Grover & Ajay Shah, 2014. "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-031, Indira Gandhi Institute of Development Research, Mumbai, India.
  70. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics.
  71. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  72. Kaufmann Sylvia & Scheicher Martin, 2006. "A Switching ARCH Model for the German DAX Index," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-37, December.
  73. Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.
  74. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
  75. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
  76. Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016. "Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets," SAGE Open, , vol. 6(3), pages 21582440166, July.
  77. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  78. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  79. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
  80. Kajal Lahiri & Fushang Liu, 2006. "ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 321-363, Emerald Group Publishing Limited.
  81. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  82. Huiling Yuan & Yong Zhou & Zhiyuan Zhang & Xiangyu Cui, 2019. "Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility," Papers 1907.02666, arXiv.org.
  83. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
  84. McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010. "A simple expected volatility (SEV) index: Application to SET50 index options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
  85. Becker, Ralf & Clements, Adam E. & McClelland, Andrew, 2009. "The jump component of S&P 500 volatility and the VIX index," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1033-1038, June.
  86. Katsuyuki Takahashi & Isao Shoji, 2011. "An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1381-1394, June.
  87. Jaesun Noh & Tae-Hwan Kim, 2006. "Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 395-413.
  88. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
  89. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  90. Miao, Hong & Ramchander, Sanjay & Ryan, Patricia & Wang, Tianyang, 2018. "Default prediction models: The role of forward-looking measures of returns and volatility," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 146-162.
  91. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  92. Becker, Ralf & Clements, Adam E. & White, Scott I., 2006. "On the informational efficiency of S&P500 implied volatility," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 139-153, August.
  93. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  94. Zhu, Xuehong & Zhang, Hongwei & Zhong, Meirui, 2017. "Volatility forecasting using high frequency data: The role of after-hours information and leverage effects," Resources Policy, Elsevier, vol. 54(C), pages 58-70.
  95. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
  96. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
  97. Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou, 2021. "Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1618-1639, October.
  98. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.
  99. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
  100. Jussi Nikkinen & Petri Sahlstrom, 2001. "Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 129-148, June.
  101. DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(6), pages 1813-1845, December.
  102. Kliger, Doron & Qadan, Mahmoud, 2019. "The High Holidays: Psychological mechanisms of honesty in real-life financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 78(C), pages 121-137.
  103. Damien Lynch & Nikolaos Panigirtzoglou, 2004. "Option Implied and Realised Measures of Variance," Money Macro and Finance (MMF) Research Group Conference 2004 94, Money Macro and Finance Research Group.
  104. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
  105. Gong, Xu & Lin, Boqiang, 2019. "Modeling stock market volatility using new HAR-type models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 194-211.
  106. Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  107. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
  108. repec:eco:journ1:2014-03-19 is not listed on IDEAS
  109. Adrienne Kearney & Raymond Lombra, 2004. "Stock market volatility, the news, and monetary policy," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(2), pages 252-259, June.
  110. Parhizgari, A.M. & Padungsaksawasdi, Chaiyuth, 2021. "Global equity market leadership positions through implied volatility measures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 180-205.
  111. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
  112. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
  113. Ralf Becker & Adam Clements & Christopher Coleman-Fenn, 2009. "Forecast performance of implied volatility and the impact of the volatility risk premium," NCER Working Paper Series 45, National Centre for Econometric Research.
  114. Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
  115. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005. "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper 1187, Economics Department, Queen's University.
  116. Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018. "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 118(C), pages 376-391.
  117. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
  118. Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
  119. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
  120. Benavides Guillermo, 2006. "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers 2006-04, Banco de México.
  121. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  122. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  123. Degiannakis, Stavros, 2008. "Forecasting Vix," MPRA Paper 96307, University Library of Munich, Germany.
  124. Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
  125. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
  126. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
  127. Mahmod Qadan & Joseph Yagil, 2012. "Fear sentiments and gold price: testing causality in-mean and in-variance," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 363-366, March.
  128. Kim, Namhyoung & Lee, Jaewook, 2013. "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 36-53.
  129. Victor Bello Accioly & Beatriz Vaz de Melo Mendes, 2016. "Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil," Brazilian Business Review, Fucape Business School, vol. 13(2), pages 1-26, March.
  130. Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016. "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 50-64, December.
  131. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
  132. Sana Ben Hamida & Wafa Abdelmalek & Fathi Abid, 2020. "Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility," Papers 2007.07207, arXiv.org.
  133. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
  134. Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006. "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business 06-20, Osaka University, Graduate School of Economics.
  135. Nabil Maghrebi & Mark J. Holmes & Kosuke Oya, 2014. "Financial instability and the short-term dynamics of volatility expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 24(6), pages 377-395, March.
  136. Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2010. "The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 871-881, April.
  137. repec:zbw:bofrdp:2010_019 is not listed on IDEAS
  138. Fernando Perez-cruz & Julio Afonso-rodriguez & Javier Giner, 2003. "Estimating GARCH models using support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 163-172.
  139. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
  140. Meng, Xiaochun & Taylor, James W., 2018. "An approximate long-memory range-based approach for value at risk estimation," International Journal of Forecasting, Elsevier, vol. 34(3), pages 377-388.
  141. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  142. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
  143. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
  144. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
  145. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
  146. Yafeng Shi & Tingting Ying & Yanlong Shi & Chunrong Ai, 2020. "A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1025-1034, November.
  147. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  148. Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
  149. Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013. "The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, September.
  150. Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, vol. 7(3), pages 1-15, September.
  151. Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers.
  152. Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018. "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, vol. 37(C), pages 17-31.
  153. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
  154. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
  155. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2011. "Option-Implied Measures of Equity Risk," Review of Finance, European Finance Association, vol. 16(2), pages 385-428.
  156. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
  157. Sarwar, Ghulam, 2014. "U.S. stock market uncertainty and cross-market European stock returns," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 1-14.
  158. GIOT, Pierre, 2003. "The Asian financial crisis : the start of a regime switch in volatility," LIDAM Discussion Papers CORE 2003078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  159. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
  160. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  161. Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  162. Kai‐Jiun Chang & Mao‐Wei Hung & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2019. "Volatility information implied in the term structure of VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 56-71, January.
  163. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
  164. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
  165. Bentes, Sónia R., 2015. "A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 105-112.
  166. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, January.
  167. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "International transmission of uncertainty implicit in stock index option prices," Global Finance Journal, Elsevier, vol. 15(1), pages 1-15.
  168. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
  169. Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, vol. 40(C), pages 586-597.
  170. Kelvin Mutum, 2020. "Volatility Forecast Incorporating Investors’ Sentiment and its Application in Options Trading Strategies: A Behavioural Finance Approach at Nifty 50 Index," Vision, , vol. 24(2), pages 217-227, June.
  171. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
  172. Bentes, Sonia R & Menezes, Rui, 2012. "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper 42193, University Library of Munich, Germany.
  173. Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
  174. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 58-79, January.
  175. Lan Zhang, 2012. "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, vol. 8(2), pages 259-275, May.
  176. Ana-Maria Fuertes & Elena Kalotychou & Natasa Todorovic, 2015. "Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 251-278, August.
  177. Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 192-218, May.
  178. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  179. Dimitrios Dimitriou, 2016. "Greek debt negotiations and VIX currency indices: A HYGARCH approach," Economics Bulletin, AccessEcon, vol. 36(4), pages 2154-2160.
  180. Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  181. Peter Christoffersen & Stefano Mazzotta, 2004. "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers 2004s-16, CIRANO.
  182. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Scheduled domestic and US macroeconomic news and stock valuation in Europe," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 201-215, July.
  183. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
  184. repec:esx:essedp:713 is not listed on IDEAS
  185. Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010. "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 245-269, October.
  186. Fuertes, Ana-Maria & Izzeldin, Marwan & Kalotychou, Elena, 2009. "On forecasting daily stock volatility: The role of intraday information and market conditions," International Journal of Forecasting, Elsevier, vol. 25(2), pages 259-281.
  187. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.
  188. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
  189. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
  190. Thi Le & Ariful Hoque, 2022. "Pricing European Currency Options with High-Frequency Data," Risks, MDPI, vol. 10(11), pages 1-15, November.
  191. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
  192. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-34.
  193. repec:lan:wpaper:592830 is not listed on IDEAS
  194. Wang, Yaw-Huei & Keswani, Aneel & Taylor, Stephen J., 2006. "The relationships between sentiment, returns and volatility," International Journal of Forecasting, Elsevier, vol. 22(1), pages 109-123.
  195. repec:eco:journ1:2014-03-20 is not listed on IDEAS
  196. Castrén, Olli & Mazzotta, Stefano, 2005. "Foreign exchange option and returns based correlation forecasts: evaluation and two applications," Working Paper Series 447, European Central Bank.
  197. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198.
  198. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
  199. Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute.
  200. Suk Joon Byun & Dong Woo Rhee & Sol Kim, 2011. "Intraday volatility forecasting from implied volatility," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(1), pages 83-100, February.
  201. Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004. "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings 487, Econometric Society.
  202. Adam Clements & Joanne Fuller, 2012. "Forecasting increases in the VIX: A time-varying long volatility hedge for equities," NCER Working Paper Series 88, National Centre for Econometric Research.
  203. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy (IfW Kiel).
  204. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2016. "Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange," Economic Modelling, Elsevier, vol. 52(PB), pages 592-608.
  205. Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014. "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 123-133.
  206. Oomen, Roel C. A., 2004. "Modelling realized variance when returns are serially correlated [Modellierung realisierter Varianz bei autokorrelierten Erträgen]," Discussion Papers, Research Unit: Market Processes and Governance SP II 2004-11, WZB Berlin Social Science Center.
  207. Iglesias Emma M, 2009. "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
  208. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
  209. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
  210. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
  211. Ederington, Louis & Guan, Wei, 2005. "The information frown in option prices," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1429-1457, June.
  212. Ghulam Sarwar, 2012. "Intertemporal relations between the market volatility index and stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 899-909, June.
  213. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
  214. Dutta, Anupam & Nikkinen, Jussi & Rothovius, Timo, 2017. "Impact of oil price uncertainty on Middle East and African stock markets," Energy, Elsevier, vol. 123(C), pages 189-197.
  215. Eui Jung Chang & Benjamin Miranda Tabak, 2007. "Are implied volatilities more informative? The Brazilian real exchange rate case," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 569-576.
  216. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  217. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
  218. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
  219. Kenourgios, Dimitris, 2014. "On financial contagion and implied market volatility," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 21-30.
  220. Degiannakis, Stavros, 2018. "Multiple days ahead realized volatility forecasting: Single, combined and average forecasts," Global Finance Journal, Elsevier, vol. 36(C), pages 41-61.
  221. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Leibniz Institute for Financial Research SAFE.
  222. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  223. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  224. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  225. Javier Giner & Sandra Morini & Rafael Rosillo, 2016. "Optimal Prediction Periods for New and Old Volatility Indexes in USA and German Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 527-549, April.
  226. Jian Zhou, 2017. "Forecasting REIT volatility with high-frequency data: a comparison of alternative methods," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2590-2605, June.
  227. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2022. "Time connectedness of fear," Empirical Economics, Springer, vol. 62(3), pages 905-931, March.
    • Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
  228. Markose, Sheri M & Peng, Yue & Alentorn, Amadeo, 2012. "Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices," Economics Discussion Papers 3713, University of Essex, Department of Economics.
  229. Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad, 2013. "Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 555-572, June.
  230. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2019. "Dynamic Responses of Major Equity Markets to the US Fear Index," JRFM, MDPI, vol. 12(4), pages 1-23, September.
  231. Chernov, Mikhail, 2007. "On the Role of Risk Premia in Volatility Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 411-426, October.
  232. Benlagha, Noureddine & Chargui, Sana, 2017. "Range-based and GARCH volatility estimation: Evidence from the French asset market," Global Finance Journal, Elsevier, vol. 32(C), pages 149-165.
  233. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
  234. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September.
  235. Dennis Bams & Thorsten Lehnert & Christian C. P. Wolff, 2009. "Loss Functions in Option Valuation: A Framework for Selection," Management Science, INFORMS, vol. 55(5), pages 853-862, May.
  236. Husmann, Sven, 2005. "On Estimating an Asset's Implicit Beta," Discussion Papers 238, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  237. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
  238. repec:dau:papers:123456789/2138 is not listed on IDEAS
  239. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  240. Maria Gonzalez-Perez & Alfonso Novales, 2011. "The information content in a volatility index for Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 2(2), pages 185-216, June.
  241. Javier Giner Rubio & Sandra Morini Marrero, 2004. "El índice VIX para la predicción de la volatilidad: un estudio internacional," Documentos de trabajo conjunto ULL-ULPGC 2004-10, Facultad de Ciencias Económicas de la ULPGC.
  242. Todorova, Neda & Souček, Michael, 2014. "Overnight information flow and realized volatility forecasting," Finance Research Letters, Elsevier, vol. 11(4), pages 420-428.
  243. Smales, Lee A., 2022. "Spreading the fear: The central role of CBOE VIX in global stock market uncertainty," Global Finance Journal, Elsevier, vol. 51(C).
  244. Ouandlous, Arav & Barkoulas, John T. & Alhaj-Yaseen, Yaseen, 2018. "Persistence and discontinuity in the VIX dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 333-344.
  245. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
  246. Wolfgang Karl Hardle & Elena Silyakova, 2020. "Implied Basket Correlation Dynamics," Papers 2009.09770, arXiv.org.
  247. Shaikh, Imlak & Vallabh, Priyanka, 2022. "Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of India's Monetary Policy Committee (MPC) review," Resources Policy, Elsevier, vol. 76(C).
  248. Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad, 2019. "Properties and the predictive power of implied volatility in the New Zealand dairy market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 612-631, May.
  249. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, University Library of Munich, Germany.
  250. Benavides, Guillermo, 2009. "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(09), pages 55-95, segundo s.
  251. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
  252. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
  253. Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research.
  254. Bent Jesper Christensen & Morten Ø. Nielsen, 2005. "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper 1186, Economics Department, Queen's University.
  255. Bentes, Sónia R., 2017. "On the relation between implied and realized volatility indices: Evidence from the BRIC countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 243-248.
  256. Charles Corrado & Cameron Truong, 2004. "Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range," Research Paper Series 127, Quantitative Finance Research Centre, University of Technology, Sydney.
  257. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013.
  258. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
  259. Vipul Kumar Singh, 2013. "Effectiveness of volatility models in option pricing: evidence from recent financial upheavals," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 10(3), pages 352-375, October.
  260. Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.
  261. Degiannakis, Stavros & Floros, Christos, 2010. "VIX Index in Interday and Intraday Volatility Models," MPRA Paper 96304, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.