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Arindam Banerjee
Pág. 268 - 276
The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto reg...
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Simon Grima, Letife Özdemir, Ercan Özen and Inna Romanova
With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the e...
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Sini?a Bogdan, Natali Brmalj and Elvis Mujacevic
This research addresses the impact of individual investors on the cryptocurrency market, focusing specifically on the development of herd behavior. Although the phenomenon of herd behavior has been studied extensively in the stock market, it has received...
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Luis Fernando Pereira Azevedo,Pedro L. Valls Pereira
Pág. 571 - 630
VIX - Volatility Index - emerged as an alternative calculation of implied volatility in order to mitigate some problems encountered in models of the Black-Scholes. This kind of volatility is seen as the best predictor of future volatility, given that opt...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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P J Venter, E Maré
Pág. 136
Volatiliteitsindekse en afgeleides van volatiliteitsindekse het die afgelope paar jaar gewild vir die bestuur van risiko geword. Die fokus van hierdie studie is die verskansing van Standard and Poor?s 500- (S&P500) volatiliteitsindeks- (VIX) termynop...
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David E. Allen, Michael McAleer, Robert Powell and Abhay K. Singh
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Jying-Nan Wang,Yuan-Teng Hsu,Hung-Chun Liu
Pág. 651 - 656
Given the rapid growth of financial markets over the past 20 years, along with the explosive development of financial derivatives, an ever-growing need for accurate and efficient volatility forecasting has emerged. Such forecasts have numerous financial ...
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Hülya Yilmaz,Bülent Ilhan
Pág. 26 - 38
This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to Marc...
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Lucía Morales and Bernadette Andreosso-O?Callaghan
An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was conducted using augmented market models that integrate Economic Policy Uncertainty (EPU) and implied volatility (VIX). The results do not seem...
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Nikoletta Poutachidou and Stephanos Papadamou
The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase ?quantitative easing? in the US. The exponential generalized a...
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Carlos Chaves,André C. Silva
Pág. 521 - 544
We examine the impact of expected inflation on stock returns. We use inflation forecasts from the Focus survey and real returns of Ibovespa (the index of B3, the Brazilian stock exchange). In our main specification, an increase of 1 percentage point in e...
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Mauricio Andrade Weiss, Daniela Magalhães Prates
Este artigo pretende dar uma contribuição à literatura empírica sobre os determinantes dos fluxos de capitais de natureza financeira direcionados aos países em desenvolvimento por meio de um modelo econométrico de dados em painel com a utilização do Méto...
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Adonias Evaristo da Costa Filho
Pág. 403 - 441
This paper analyzes the information content of risk reversals for ten emergingmarket currencies. In contrast to the findings for major developed currencies,it is found that in some cases risk reversals (RR) are helpful in predictingcurrency returns, but ...
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Maud Korley and Evangelos Giouvris
Research proposes that economic policy uncertainty (EPU) leads to exchange rate fluctuations. Given that African countries experience higher levels of uncertainty in developed/emerging markets, we examine the extent to which domestic and foreign EPU affe...
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Samih Antoine Azar
Pág. 105 - 112
The classic approach to risk analysis is rooted in the belief that risk aversion is constant, determined by constant preferences. It is becoming clear that this proposition is no longer acceptable. Risk aversion can change over short time, between ...
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Erik Sonne Noddeboe and Hans Christian Faergemann
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can signif...
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