SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach
16 references·2 citing·55 second hopsampled
Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach (2019)Forecasting implied volatility risk index…The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)The directional volatility co…The Joint Cross Section of Stocks and Options (2014)The Joint Cross Section of St…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…Modeling and predicting the CBOE market volatility index (2013)Modeling and predicting the C…How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index (2013)How does oil market uncertain…Is VIX an investor fear gauge in BRIC equity markets? (2012)Is VIX an investor fear gauge…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A behavioral explanation for the negative asymmetric return–volatility relation (2008)A behavioral explanation for …Does implied volatility provide any information beyond that captured in model-based volatility forecasts? (2007)Does implied volatility provi…The forecast quality of CBOE implied volatility indexes (2005)The forecast quality of CBOE …Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Relationships Between Implied…Time series forecasting using a hybrid ARIMA and neural network model (2003)Time series forecasting using…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …The Informational Content of Implied Volatility (1993)The Informational Content of …Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Some recent developments in non-linear time series modelling, testing, and forecasting (1992)Some recent developments in n…Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling (2022)Do Gas Price and Uncertainty …On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach (2020)On the relationship between o…A Theory of Intraday Patterns: Volume and Price Variability (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Comparing Predictive Accuracy (1994)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis (2024)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A test for volatility spillover with application to exchange rates (2001)Volatility spillover between oil and agricultural commodity markets (2012)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)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)Option pricing: A simplified approach (1979)Valuation of American Futures Options: Theory and Empirical Tests (1986)Implied Volatility Functions: Empirical Tests (1998)The Investor Fear Gauge (2000)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Theory of rational option pricing (2005)Applied Economic Forecasting (1967)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Forecasting Volatility in Financial Markets: A Review (2003)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Book Review: Time Series Analysis: Forecasting and Control (1977)Forecasting with artificial neural networks: (1998)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)A novel hybridization of artificial neural networks and ARIMA models for time series forecasting (2010)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013)… and the Cross-Section of Expected Returns (2015)What Is the Expected Return on a Stock? (2019)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2003Time series forecasting using a hybrid ARIMA and neural network model4,583 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 1993Derivatives on Market Volatility473 cited
  • 2005Relationships Between Implied Volatility Indexes and Stock Index Returns432 cited
  • 2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes420 cited
  • 2014The Joint Cross Section of Stocks and Options315 cited
  • 2013Modeling and predicting the CBOE market volatility index278 cited
  • 2008A behavioral explanation for the negative asymmetric return–volatility relation247 cited
  • 2013How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index220 cited
  • 1992Some recent developments in non-linear time series modelling, testing, and forecasting206 cited
  • 2012Is VIX an investor fear gauge in BRIC equity markets?193 cited
  • 2005The forecast quality of CBOE implied volatility indexes191 cited
  • 2013

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

The Joint Cross Section of Stocks and Options
135 cited
  • 2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts?124 cited
  • Cited by

    • 2020On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach50 cited
    • 2022Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling49 cited