Implied volatility indices–A review
AP Fassas, C Siriopoulos - The Quarterly Review of Economics and …, 2021 - Elsevier
This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …
volatility indices regarding both the realized volatility and the returns of the underlying asset …
Implied volatility indices–a review
C Siriopoulos, A Fassas - Available at SSRN 1421202, 2019 - papers.ssrn.com
This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …
volatility indices regarding both the realized volatility and the returns of the underlying asset …
A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks
We provide first evidence of the multiscale comovement of correlations between the S&P
500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey …
500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey …
Risk in strategic management
Although risk is an essential element of the business landscape and one of the more widely
researched topics in business, there is noticeably less scholarship on strategic risk …
researched topics in business, there is noticeably less scholarship on strategic risk …
Implied volatility of structured warrants: Emerging market evidence
This paper examines the informational content of Implied Volatility (IV) for 493 Malaysian
and 945 Thai structured call warrants from 2014 to 2015. Unlike a regular warrant (issued by …
and 945 Thai structured call warrants from 2014 to 2015. Unlike a regular warrant (issued by …
Option Price Theory: A Quantitative Study of Volatility, Interest Rate, Exchange Rate, and S&P 500 Index Prices
TJ Chesebro - 2020 - search.proquest.com
The study of volatility and price as interrelated functions of the market formed the basis for
many studies into option price action, but the relationship of price and the other variables did …
many studies into option price action, but the relationship of price and the other variables did …