Essays about: "VDAX"

Found 2 essays containing the word VDAX.

  1. 1. A Volatility Based Contrarian Strategy In the German Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofie Bastholm; Magnus Rindeskär; [2013]
    Keywords : DAX; VDAX; Implied volatility; Contrarian strategy; The efficient market hypothesis; Behavioral finance; Market timing; Business and Economics;

    Abstract : In this paper we investigate if the German implied volatility index, VDAX, could be used as a good sentiment indicator for a contrarian strategy. For such a strategy to be legitimate there must exist price inefficiencies in the market, which requires that the efficient market hypothesis does not hold. READ MORE

  3. 2. The Secret Life of Fear: Interdependencies Among Implied Volatilities Represented by different Stock Volatility Indices Treated as Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Saku Nousiainen; [2010-11-05]
    Keywords : Dynamic Conditional Correlation; Implied Volatility; MGARCH; Risk Management; Time Series Analysis; Volatility Index; Volatility Spillover;

    Abstract : This study focuses on the systemic interdependencies of specified volatility indices, the underlying assets of which are major stock indices of developed financial markets. The volatility indices in question follow the standard VIX specification, and thus give forward-looking 30-day estimates of implied volatilities on each market respectively. READ MORE