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Trading and Investing in Volatility Products
16 references·1 citing·45 second hop
Trading and Investing in Volatility Products (2015)Trading and Investing in Volatility Produ…Forecasting volatility of the U.S. oil market (2014)Forecasting volatility of the…Modeling and predicting the CBOE market volatility index (2013)Modeling and predicting the C…How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index (2013)How does oil market uncertain…Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation (2012)Quantile Regression Analysis …Is VIX an investor fear gauge in BRIC equity markets? (2012)Is VIX an investor fear gauge…Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…The new market for volatility trading (2010)The new market for volatility…Volatility Derivatives (2009)Volatility DerivativesUnderstanding the VIX (2009)Understanding the VIXCan the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Can the evolution of implied …A Tale of Two Indices (2006)A Tale of Two IndicesThe Investor Fear Gauge (2000)The Investor Fear GaugeA Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Valuing futures and options on volatility (1996)Valuing futures and options o…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Diversification with volatility products (2016)Diversification with volatili…A Theory of Intraday Patterns: Volume and Price Variability (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis (2018)The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty? (2021)Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis (2024)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Information Externalities along the Supply Chain: The Economic Determinants of Suppliers’ Stock Price Reaction to Their Customers’ Earnings Announcements* (2011)Cognitive Dissonance, Sentiment, and Momentum (2012)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)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)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Price of a Smile: Hedging and Spanning in Option Markets (2001)Options and Bubbles (2006)Valuation of VIX derivatives (2012)Option pricing: A simplified approach (1979)Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)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)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017)Investor sentiment and the price of oil (2017)Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models (2019)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)
this work references cited by second hop

References

  • 2000The Investor Fear Gauge1,097 cited
  • 2009Understanding the VIX650 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 1993Derivatives on Market Volatility473 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 2006A Tale of Two Indices381 cited
  • 2013Modeling and predicting the CBOE market volatility index278 cited
  • 2014Forecasting volatility of the U.S. oil market248 cited
  • 1996Valuing futures and options on volatility225 cited
  • 2013How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index220 cited
  • 2012Is VIX an investor fear gauge in BRIC equity markets?193 cited
  • 2009Volatility Derivatives178 cited
  • 2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices174 cited
  • 2010The new market for volatility trading110 cited
  • 2012Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation107 cited

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  • 2016Diversification with volatility products28 cited