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

DOI10.1007/S11147-012-9085-XzbMATH Open1282.91261OpenAlexW1988577191MaRDI QIDQ385646FDOQ385646

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• 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 *
• Are volatility indices in international stock markets forward looking?

Cited In (2)

• A volatility smile-based uncertainty index
• Risk-adjusted option-implied moments

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