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Are volatility indices in international stock markets forward looking?
11 references·0 citing·42 second hopsampled
Are volatility indices in international stock markets forward looking? (2009)Are volatility indices in international s…Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Relationships Between Implied…The Greek implied volatility index: construction and properties (2004)The Greek implied volatility …The Nasdaq Volatility Index During and After the Bubble (2003)The Nasdaq Volatility Index D…Forecasting Volatility:Evidence from the German Stock Market (2001)Forecasting Volatility:Eviden…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…The Investor Fear Gauge (2000)The Investor Fear GaugeDynamic Volatility Trading Strategies in the Currency Option Market (2000)Dynamic Volatility Trading St…The Predictive Power of the French Market Volatility Index: A Multi Horizons Study (1999)The Predictive Power of the F…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Forecasting Volatility and Option Prices of the S&P 500 Index (1994)Forecasting Volatility and Op…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Parametric and Nonparametric Volatility Measurement (2010)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Jump Diffusion Model for VIX Volatility Options and Futures (2007)Implied volatility indices – A review (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Implied Volatility (1995)Full Bayesian Inference for GARCH and EGARCH Models (2000)Financial volatility trading using recurrent neural networks (2001)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)The VIX, the variance premium and stock market volatility (2014)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)An Intertemporal Capital Asset Pricing Model (1973)A behavioral explanation for the negative asymmetric return–volatility relation (2008)U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis (2012)Modeling and predicting the CBOE market volatility index (2013)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)A first look at the properties of India's volatility index (2012)The forecasting accuracy of implied volatility from ECX carbon options (2014)The asymmetric relationship between returns and implied volatility: Evidence from global stock markets (2017)Prices of State-Contingent Claims Implicit in Option Prices (1978)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Brownian Motion and Stochastic Calculus (2007)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)ARCH modeling in finance (1992)A multiple indicators model for volatility using intra-daily data (2005)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)The pricing of commodity contracts (1976)Asymmetric linkages among the fear index and emerging market volatility indices (2018)The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal? (2021)Alternative volatility models for risk management and trading: Application to the EUR/USD and USD/JPY rates (2005)Stochastic Volatility and GARCH: a Comparison Based on UK Stock Data (2006)Estimating stochastic volatility models using integrated nested Laplace approximations (2010)
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References

  • 2000The Investor Fear Gauge1,097 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 2005Relationships Between Implied Volatility Indexes and Stock Index Returns432 cited
  • 1994Forecasting Volatility and Option Prices of the S&P 500 Index153 cited
  • 2003The Nasdaq Volatility Index During and After the Bubble106 cited
  • 2004The Greek implied volatility index: construction and properties76 cited
  • 1999The Predictive Power of the French Market Volatility Index: A Multi Horizons Study41 cited
  • 2001Forecasting Volatility:Evidence from the German Stock Market35 cited
  • 2000Dynamic Volatility Trading Strategies in the Currency Option Market31 cited

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