Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices

DOI10.1007/S11147-012-9085-XMaRDI QIDQ385646zbMATH OpenOpenAlexFDO

Authors Costas Siriopoulos, Athanasios P. Fassas

Publication date 2 December 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-012-9085-x

zbMATH Keywords

VIXdynamic conditional correlationimplied volatility indicestransmission of uncertainty

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Are volatility indices in international stock markets forward looking?
• Post-'87 crash fears in the S\&P 500 futures option market
• The Predictive Power of the French Market Volatility Index: A Multi Horizons Study *
• The pricing of options and corporate liabilities

Cited in

(4)

• A volatility smile-based uncertainty index
• Risk-adjusted option-implied moments
• Using interpolated implied volatility for analysing exogenous market changes
• Time-frequency information transmission among financial markets: evidence from implied volatility

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