SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Predictive Power of the French Market Volatility Index: A Multi Horizons Study
16 references·10 citing·36 second hop
The Predictive Power of the French Market Volatility Index: A Multi Horizons Study (1999)The Predictive Power of the French Market…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…The Informational Content of Implied Volatility (1993)The Informational Content of …Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Volatility index and the return–volatility relation: Intraday evidence from Chinese options market (2019)Volatility index and the retu…The asymmetric relationship between returns and implied volatility: Evidence from global stock markets (2017)The asymmetric relationship b…Interest rate volatility and risk management: Evidence from CBOE Treasury options (2017)Interest rate volatility and …The forecasting performance of implied volatility index: evidence from India VIX (2014)The forecasting performance o…The forecasting accuracy of implied volatility from ECX carbon options (2014)The forecasting accuracy of i…Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices (2012)Dynamic relations of uncertai…A first look at the properties of India's volatility index (2012)A first look at the propertie…A simplified pricing model for volatility futures (2010)A simplified pricing model fo…Asymmetric dependence patterns in financial time series (2009)Asymmetric dependence pattern…Are volatility indices in international stock markets forward looking? (2009)Are volatility indices in int…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Applied Economic Forecasting (1967)Expected Option Returns (2001)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)Option pricing when underlying stock returns are discontinuous (1976)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 Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)THE GARCH OPTION PRICING MODEL (1995)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1995Predicting stock market volatility: A new measure538 cited

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

1993
Derivatives on Market Volatility
473 cited

Cited by

  • 2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets41 cited
  • 2014The forecasting accuracy of implied volatility from ECX carbon options40 cited
  • 2012A first look at the properties of India's volatility index34 cited
  • 2010A simplified pricing model for volatility futures26 cited
  • 2014The forecasting performance of implied volatility index: evidence from India VIX24 cited
  • 2017Interest rate volatility and risk management: Evidence from CBOE Treasury options24 cited
  • 2009Asymmetric dependence patterns in financial time series23 cited
  • 2012Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices22 cited
  • 2019Volatility index and the return–volatility relation: Intraday evidence from Chinese options market20 cited
  • 2009Are volatility indices in international stock markets forward looking?18 cited