Essays about: "Fabio Antonio Cacia"

Found 1 essay containing the words Fabio Antonio Cacia.

  1. 1. Volatility Based Sentiment Indicators for Timing the Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fabio Antonio Cacia; Rossen Tzvetkov; [2008]
    Keywords : GARCH; volatility; sentiment; VIX; market timing signals; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : VIX, published by the Chicago Board Options Exchange, is a well known implied volatility estimator. In this paper we assess its capability to be used as a sentiment indicator, and to give signals for a short term investment strategy. READ MORE