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Modelling S&P 100 volatility: The information content of stock returns

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Cited by:

  1. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
  2. 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.
  3. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
  4. 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.
  5. Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020. "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 1-28, March.
  6. Mukhoti, Sujay, 2014. "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper 62532, University Library of Munich, Germany.
  7. Panayiotis Diamandis & Anastassios Drakos & Argyrios Volis, 2007. "The impact of stock incremental information on the volatility of the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 413-424.
  8. 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.
  9. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
  10. Joo, Young C. & Park, Sung Y., 2021. "The impact of oil price volatility on stock markets: Evidences from oil-importing countries," Energy Economics, Elsevier, vol. 101(C).
  11. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  12. Kanzari, Dalel & Nakhli, Mohamed Sahbi & Gaies, Brahim & Sahut, Jean-Michel, 2023. "Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks," Research in International Business and Finance, Elsevier, vol. 65(C).
  13. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  14. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
  15. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  16. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
  17. 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.
  18. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
  19. Yang, Ni & Fernandez-Perez, Adrian & Indriawan, Ivan, 2024. "Spillover between investor sentiment and volatility: The role of social media," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  20. Thi Le & Ariful Hoque, 2022. "Pricing European Currency Options with High-Frequency Data," Risks, MDPI, vol. 10(11), pages 1-15, November.
  21. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
  22. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
  23. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
  24. Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
  25. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
  26. Sharif, Taimur & Ghouli, Jihene & Bouteska, Ahmed & Abedin, Mohammad Zoynul, 2024. "The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 25-41.
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