SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Volatility index and the return–volatility relation: Intraday evidence from Chinese options market
16 references·0 citing·43 second hop
Volatility index and the return–volatility relation: Intraday evidence from Chinese options market (2019)Volatility index and the return–volatilit…Price discovery among SSE 50 Index‐based spot, futures, and options markets (2018)Price discovery among SSE 50 …A novel forecasting method based on multi-order fuzzy time series and technical analysis (2016)A novel forecasting method ba…The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)The leverage effect puzzle: D…Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation (2012)Quantile Regression Analysis …A behavioral explanation for the negative asymmetric return–volatility relation (2008)A behavioral explanation for …A Behavioral Approach to Asset Pricing (2008)A Behavioral Approach to Asse…Does risk aversion drive financial crises? Testing the predictive power of empirical indicators (2007)Does risk aversion drive fina…Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006)Stock Returns, Implied Volati…Technical Analysis: Power Tools for Active Investors (2005)Technical Analysis: Power Too…The Investor Fear Gauge (2000)The Investor Fear GaugeThe Predictive Power of the French Market Volatility Index: A Multi Horizons Study (1999)The Predictive Power of the F…Stock returns and volatility a firm-level analysis (1995)Stock returns and volatility …No news is good news (1992)No news is good newsStock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and Forecasting Realized Volatility (2003)World War II events and the Dow Jones industrial index (2009)The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2014)Herding behavior, market sentiment and volatility: Will the bubble resume? (2017)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)FDI and credit constraints: Firm-level evidence from China (2008)On the influence of oil prices on economic activity and other macroeconomic and financial variables* (2008)The VIX, the Variance Premium and Stock Market Volatility (2013)Why Does Stock Market Volatility Change Over Time? (1989)Why Did Individual Stocks Become More Volatile?* (2006)Individual Investors and Volatility: (ex Chaining up noise traders) (2008)Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆ (2009)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)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)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A jump to default extended CEV model: an application of Bessel processes (2006)U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis (2012)Investor Sentiment and Option Prices (2007)Investor Sentiment in the Stock Market (2007)Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 2008A Behavioral Approach to Asset Pricing489 cited
  • 1995Stock returns and volatility a firm-level analysis391 cited
  • 2006Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon256 cited
  • 2008A behavioral explanation for the negative asymmetric return–volatility relation247 cited
  • 2007Does risk aversion drive financial crises? Testing the predictive power of empirical indicators217 cited
  • 2013The leverage effect puzzle: Disentangling sources of bias at high frequency205 cited
  • 2005Technical Analysis: Power Tools for Active Investors200 cited
  • 2016A novel forecasting method based on multi-order fuzzy time series and technical analysis118 cited
  • 2012Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation107 cited
  • 2018Price discovery among SSE 50 Index‐based spot, futures, and options markets58 cited

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

  • 1999The Predictive Power of the French Market Volatility Index: A Multi Horizons Study41 cited
  • Cited by

    No citing works inside the corpus for this window.