the VIX
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
... underlying VIX ex- hibits mean-reversion tendencies after a jump-diffusion ...of VIX tends to revert back to an average or mean value after a market shock has ...the VIX which also has not been ...
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VIX Index in Interday and Intraday Volatility Models
... the VIX index contains information about next day’s realised volatility, which is not available in the past values of either daily conditional volatility or intraday realized ...
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The linkage between oil and agricultural commodity prices in the light of the perceived global risk
... the VIX index on the relationship between the world oil and agricul- tural commodity ...the VIX on the agricultural commodity prices in such a large balanced panel data ...
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Next Level in Risk Management? Hedging and Trading Strategies of Volatility Derivatives Using VIX Futures
... Even though, this explanation appears plausible, it does not seem to explain the effect in practice (Figlewski & Wang, 2001). This does not represent a new observation, various economists have remarked upon it ...
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The linkage between oil and agricultural commodity prices in the light of the perceived global risk
... the VIX index on the world oil price and the agricultural commodity prices by using the fixed ef- fects panel data, the common correlated effects mean group estimations, the panel co-integration-, and the ...
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How the Subprime Crisis went global: Evidence from bank credit default swap spreads
... The implication is that perceptions of banks’risk in that tranquil period were shaped by a global factor that is best summarized by corporate default risk. This is reasonable not just because of the banks’direct exposure ...
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Comparing U S and European Market Volatility Responses to Interest Rate Policy Announcements
... in VIX on FOMC meeting days. For instance, the VIX declines about 75% of the time on FOMC meeting days (83 out of 112) whereas the VDAX declines only about 60% of the time on FOMC meeting days (67 out of ...
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Is There Any Real Market Indicator to Predict Stock Index Returns? A SEM Approach
... India VIX is a Volatility Index computed by NSE based on the order book of Nifty ...[6]). VIX signals market direction, the signal is loud and clear when the implied volatility is high (or, even better, ...
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Forecasting Vix
... the VIX index is hard to forecast and does not seem to be very closely connected to the volatility of the underlying ...The VIX index is supposed to measure the market's volatility forecast over the future, ...
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Mean Reverting Logarithmic Modeling of VIX
... regarding VIX modeling is the dy- namic features of VIX futures implied by VIX models as well as the hedging ratios of VIX futures and VIX options with respect to other VIX ...
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Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
... índice VIX o que influencia diretamente os preços do ouro bem como se pode verificar que o índice VIX tem uma influência no ...→ VIX;VIX → PSI20 Verificamos ainda que os índices adotam um ...
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A macro financial analysis of the euro area sovereign bond market National Bank of Belgium Working Paper No 259, June 2014
... analyzed. It includes (i ) the Chicago Board Options Exchange (CBOE) Market Volatility Index (VIX ), obtained from Datastream, which expresses the implied volatility of the Standard & Poor’s (S&P) 500 ...
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Dynamic Co movements between Economic Policy Uncertainty and Housing Market Returns
... pected, growth in real housing market returns is associated with increases in industrial production growth and negative changes in the real federal funds rate. Also in line with the literature, house prices show inertia, ...
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Predicting India Volatility Index: An Application of Artificial Neural Network
... To enable the ANN model forecast efficiently, various technical indicators were used to achieve a model fit. Total 16 indicators were used as input parameters in the ANN model out of the different indicators that are ...
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A macro-financial analysis of the euro area sovereign bond market. National Bank of Belgium Working Paper No. 259, June 2014
... analyzed. It includes (i ) the Chicago Board Options Exchange (CBOE) Market Volatility Index (VIX ), obtained from Datastream, which expresses the implied volatility of the Standard & Poor’s (S&P) 500 ...
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Determinants of stock bond market comovement in the Eurozone under model uncertainty
... In particular, domestic stock and bond market uncertainty and the state of the economy as represented by the unemployment rate are the most influential factors during the non crisis periods. A lower probability of ...
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The Effects of Additional Monetary Tightening on Exchange Rates
... in VIX, which is widely used as an indicator for the global risk appetite, and the daily amount of FX sold by CBRT through auctions and interventions are used as control ...
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Three essays on uncertainty: real and financial effects of uncertainty shocks
... In a large and growing number of studies, there have been empirical attempts to measure uncertainty in macroeconomic context. The most frequently used proxy for uncertainty is the implied or realised volatility of stock ...
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On the Linkages between India VIX and US Financial Stress Index
... So, through the present study, an attempt has been made to comprehend the linkages that exist between the US financial stress and India VIX index. Our fundamental objective is to check that whether the stress ...
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Uncertainty shocks in emerging economies:a global to local approach for identification
... the VIX, the measure proposed by Mumtaz and Theodoridis [2017] (hereafter M&T ) which consists in the common standard deviation of the shocks to the world factors obtained from a dynamic factor model with ...
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