SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The relationship between implied volatility and autocorrelation
10 references·1 citing·46 second hop
The relationship between implied volatility and autocorrelation (2007)The relationship between implied volatili…The forecast quality of CBOE implied volatility indexes (2005)The forecast quality of CBOE …Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy (2004)Does the Euro affect the dyna…The Determinants of Conditional Autocorrelation in Stock Returns (2003)The Determinants of Condition…Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan (2002)Margin requirements, positive…Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange (2000)Trading volume and autocorrel…Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets (1999)Asymmetric Price and Volatili…Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence (1997)Feedback trading and the auto…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data (1992)Feedback Traders and Stock Re…An Equilibrium Model of the Crash (1988)An Equilibrium Model of the C…Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty (2009)Asymmetric Volatility and Cro…The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The US 2000‐2002 market descent: How much longer and deeper? (2002)Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (2006)Positive feedback trading in stock index futures: International evidence (2010)On estimating the expected return on the market (1980)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment around the Stock Crash of October 1987 (1992)Noise Trader Risk in Financial Markets (2000)Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations (2002)Oil price dynamics and speculation (2009)Time-variations in herding behavior: Evidence from a Markov switching SUR model (2013)Stock Prices and Social Dynamics (1984)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis (2010)The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Continuous Auctions and Insider Trading (1985)Prospect theory: An analysis of decision under risk (1988)Stock market returns in thin markets: evidence from the Vienna Stock Exchange (1997)Modelling Realized Variance when Returns are Serially Correlated (2004)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe (2014)Stock Prices and Volume (1992)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Hourly index return autocorrelation and conditional volatility in an EAR–GJR-GARCH model with generalized error distribution (2007)Regime-switching recurrent reinforcement learning for investment decision making (2011)Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)The new market for volatility trading (2010)Efficient predictability of stock return volatility: The role of stock market implied volatility (2020)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt (2012)Asymmetric monetary policy effects on cryptocurrency markets (2019)Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets (2020)
this work references cited by second hop

References

  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data384 cited
  • 2005The forecast quality of CBOE implied volatility indexes191 cited
  • 1997Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence151 cited
  • 1999Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets98 cited
  • 2000Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange78 cited
  • 1988An Equilibrium Model of the Crash72 cited
  • 2003The Determinants of Conditional Autocorrelation in Stock Returns51 cited
  • 2002Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan50 cited
  • 2004Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy28 cited

Cited by

  • 2009Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty22 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work