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The rise and fall of S&P500 variance futures
16 references·4 citing·27 second hop
The rise and fall of S&P500 variance futures (2012)The rise and fall of S&P500 variance futu…DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS (2011)DO WE REALLY NEED BOTH BEKK A…An econometric analysis of asymmetric volatility: Theory and application to patents (2006)An econometric analysis of as…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…On adaptive estimation in nonstationary ARMA Models with GARCH errors (2003)On adaptive estimation in non…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Recent Theoretical Results fo…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures (2019)The empirical linkages among …Managing systemic risk in The Netherlands (2015)Managing systemic risk in The…Using CARRX models to study factors affecting the volatilities of Asian equity markets (2013)Using CARRX models to study f…Excess volatility and the cross-section of stock returns (2013)Excess volatility and the cro…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing: A simplified approach (1979)Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Empirical pricing kernels (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modelling Nonlinear Economic Time Series (2010)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Asymmetric volatility transmission in international stock markets (1995)Stock market volatility and the business cycle (1996)
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References

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186 cited
  • 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
  • Cited by

    • 2019The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures19 cited
    • 2013Excess volatility and the cross-section of stock returns18 cited
    • 2013Using CARRX models to study factors affecting the volatilities of Asian equity markets18 cited
    • 2015Managing systemic risk in The Netherlands17 cited