Forecasting stock market volatility and information content of implied volatility index
PC Pati, P Barai, P Rajib - Applied Economics, 2018 - Taylor & Francis
This study investigates the incremental information content of implied volatility index relative
to the GARCH family models in forecasting volatility of the three Asia-Pacific stock markets …
to the GARCH family models in forecasting volatility of the three Asia-Pacific stock markets …
Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach
K Tissaoui - International Review of Financial Analysis, 2019 - Elsevier
This paper investigates the predictive ability of the Unites States (US) volatility risk index
toward the European and Asian volatility risk indexes, and vice versa. We use the …
toward the European and Asian volatility risk indexes, and vice versa. We use the …
Dynamic connectedness between the US financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models
K Tissaoui, T Zaghdoudi - The Quarterly Review of Economics and Finance, 2021 - Elsevier
This study investigates fear transmission between the US financial market and the Euro-
Asian financial markets. Our spatial regression models show that the US VIX index (Chicago …
Asian financial markets. Our spatial regression models show that the US VIX index (Chicago …
The informational content of implied volatility: Application to the USD/JPY exchange rates
Q Peng, J Li, Y Zhao, H Wu - Journal of Asian Economics, 2021 - Elsevier
This paper tests the information content of the Japanese Yen Implied Volatility Index (JYVIX)
regarding the future volatility of USD/JPY exchange rates. We find that JYVIX contains …
regarding the future volatility of USD/JPY exchange rates. We find that JYVIX contains …
Conditional dependence in post-crisis markets: dispersion and correlation skew trades
O Sokolinskiy - Review of Quantitative Finance and Accounting, 2020 - Springer
Strengthening of asset return dependence during the 2007–2008 credit crisis highlighted its
dynamic and conditional nature. Option prices reflect the market assessment of how …
dynamic and conditional nature. Option prices reflect the market assessment of how …