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

DOI10.1007/S11147-012-9085-XzbMath1282.91261OpenAlexW1988577191MaRDI QIDQ385646

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

Related Items (1)

Risk-adjusted option-implied moments

Cites Work

• The Pricing of Options and Corporate Liabilities
• 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?
• Unnamed Item

This page was built for publication: Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices