Model-free volatility indexes in the financial literature: A review-Reference-Cited by-同舟云学术

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Model-free volatility indexes in the financial literature: A review

Published:2015-11 Issue: Volume:40 Page:141-159
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Gonzalez-Perez Maria T.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference124 articles.

1. Market response to policy initiatives during the global financial crisis;Ait-Sahalia;Journal of International Economics,2012

2. The term structure of variance swaps, risk premia and the expectation hypothesis;Ait-Sahalia,2015

3. Liquidy and asset prices;Amihud;Foundations and Trends in Finance,2005

4. Construction and interpretation of model-free implied volatility;Andersen,2007

5. Dissecting the pricing of equity index volatility;Andersen,2010

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1. VIX option pricing through nonaffine GARCH dynamics and semianalytical formula;Journal of Futures Markets;2024-04-16

2. Implementing Intraday Model-Free Implied Volatility for Individual Equities to Analyze the Return–Volatility Relationship;Journal of Risk and Financial Management;2024-01-18

3. Gold-mining stocks, risk factors, and tail patterns;Journal of International Financial Markets, Institutions and Money;2023-10

4. Exploring the research landscape of implied volatility index: A bibliometric analysis;Journal of Corporate Accounting & Finance;2023-09-21

5. A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices;International Journal of Forecasting;2023-08

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