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[PDF] Top 20 Does the Implied Volatility Index Have Signaling Power? Evidence from Mexico

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Does the Implied Volatility Index Have  Signaling Power? Evidence from Mexico

Does the Implied Volatility Index Have Signaling Power? Evidence from Mexico

... In the way of Whaley [6], the relation between the VIX and SPX is asymmetric, so the VIX is an investors’ fear gauge in a market fall rather than an investors’ excitement gauge in a market rally. As a contrarian ... See full document

10

Sovereign rating actions and the implied volatility of stock index options

Sovereign rating actions and the implied volatility of stock index options

... reactions from financial markets (Kaminsky and Schmukler, 2002; Gande and Parsley, 2005; Ferreira and Gama, ...Why does the option market consider an equity market in a recently downgraded country ...no ... See full document

46

Sovereign rating actions and the implied volatility of stock index options

Sovereign rating actions and the implied volatility of stock index options

... reactions from financial markets (Kaminsky and Schmukler, 2002; Gande and Parsley, 2005; Ferreira and Gama, ...Why does the option market consider an equity market in a recently downgraded country ...no ... See full document

47

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market

... changes have taken place in the structure of electricity markets around the ...of power markets, prices are now determined under the fundamental rule of supply and demand and the resulting price ... See full document

35

Nail In The Coffin What is Implied by Implied Volatility?

Nail In The Coffin What is Implied by Implied Volatility?

... implying volatility from the option price instead of the underlying share price is, to the majority of people, a clever, if a rather bold, ...would have been preferable to infer volatility ... See full document

8

Does poverty alleviation increase migration? evidence from Mexico

Does poverty alleviation increase migration? evidence from Mexico

... programs have become a very popular around the world after the introduction of Progresa-­‐ Oportunidades, the pioneer Mexican CCT program that started in ...showed evidence of its effectiveness in tacking ... See full document

45

Credit-implied forward volatility and volatility expectations

Credit-implied forward volatility and volatility expectations

... out implied forward volatility term struc- tures from credit default swap ...stock volatility term structures are useful for instance in forward start option ...market’s volatility ... See full document

7

Predictable dynamics in the S&P 500 index options implied volatility surface

Predictable dynamics in the S&P 500 index options implied volatility surface

... stochastic volatility, jumps in returns and volatility, and the existence of leverage effects ...and volatility) are popular approaches (see Garcia, Ghysels and Renault (2003) for a review of the ... See full document

43

Dynamics of implied volatility surfaces

Dynamics of implied volatility surfaces

... the implied volatilities: it may therefore be interpreted as a ‘level’ ...the implied volatility surface on this eigenmode is shown in figure 19: this time series is highly persistent ... See full document

16

Impact of crude oil volatility on stock returns: Evidence from Southeast Asian markets

Impact of crude oil volatility on stock returns: Evidence from Southeast Asian markets

... market from 1996 to 2006 but the effect becomes negative for the period ...shocks have dissimilar effects on stock ...months have negative impact while the continuous increase in oil price for the ... See full document

72

The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

... options-based implied volatility to the modelling of the volatility of the Russian RTS index future, and how this dependence has changed over almost two decades (from 2006 till ...RTS ... See full document

28

DATASTREAM OPTIONS USER COMPANION

DATASTREAM OPTIONS USER COMPANION

... In certain extreme cases there may be no options activity: no bids, ask, trades or the Exchange may not calculate a settlement prices (as in the case of Philadelphia SE). In the example below no prices were issued by ... See full document

31

Forecasting Implied Volatility Surfaces

Forecasting Implied Volatility Surfaces

... The S&P 500 started at $US1,123.7 (m = 0.6229), ended at $US1,299.3 (m = 0.5388), and was never below $US957.3 (m = 0.7312) during this period; hence this call option was always ITM. It is known that ITM calls and ... See full document

38

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

... S&P500 index and spot interest rate ...stochastic volatility, and asymmetric S&P500 index returns on option ...the implied risk premium of stochastic volatility to gauge each ... See full document

42

Oil Price Volatility and the All-share Index: Evidence from Nigeria

Oil Price Volatility and the All-share Index: Evidence from Nigeria

... The supply of oil is dependent on geological discovery, the legal and tax framework for oil extraction, the cost of extraction, the availability and cost of technology for extraction, and the political situation in ... See full document

18

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

... local volatility function to the ...generalized volatility function is solved for pricing the exotic options, Andersen and Brotherton-Ratcliffe (1997) and Dempster and Richards ...the implied ... See full document

43

Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators

Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators

... different from previous studies in two major ...of volatility transmission across Asian markets, we argue that using stock index futures data provides more practically relevant ...therefore ... See full document

17

Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect

Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect

... idiosyncratic volatility and risk value of corporate ...risks have left-skewness distribution ...growth volatility and equity market jump risk increased when we estimated using swap spread of credit ... See full document

7

Asymptotics of forward implied volatility

Asymptotics of forward implied volatility

... spot implied volatility asymptotics is extensive and has drawn upon a wide range of mathematical ...asymptotics have historically re- ceived wide attention due to earlier results from the ... See full document

186

SVX mo del. The SVX mo del is then extended to a

SVX mo del. The SVX mo del is then extended to a

... 100 index in the top right corner which shows that this series is negatively skewed and exhibits ...might have a distorting inuence on the estimation results, we also consider a subsample that starts on 1 ... See full document

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