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The jump component of S&P 500 volatility and the VIX index · Study

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ArticleThe jump component of S&P 500 volatility and the VIX index

Ralf Becker2008

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Articlegreen2008

The jump component of S&P 500 volatility and the VIX index

Ralf Becker · Adam E. Clements · Andrew McClelland

143 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1998The relation between implied and realized volatility 2005The Model-Free Implied Volatility and Its Information Content 2005The Relative Contribution of Jumps to Total Price Variance

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2008The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Marketspreprint · 10 shared references 2010The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond marketsarticle · 9 shared references 2021Can the Baidu Index predict realized volatility in the Chinese stock market?article · 9 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 8 shared references 2014Forecasting the volatility of crude oil futures using intraday dataarticle · 7 shared references 2005On the informational efficiency of S&P500 implied volatilityarticle · 7 shared references

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Year2008

Typearticle

Published2008-11-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations143

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2008.10.015

openalex_workW2135472182

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2009The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks

2016Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach