Essays about: "VIX"

Showing result 1 - 5 of 36 essays containing the word VIX.

  1. 1. The Impact of Scheduled Macroeconomic News Releases on Stock Market Uncertainty

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Stefan Padjen; [2021-09-06]
    Keywords : Implied Volatility; Information; Macroeconomic News; Market Uncertainty; Multiple Testing; VIX;

    Abstract : While prior literature has studied the impact of news releases on different financial markets, the option market has received less attention. The purpose of this paperis to examine the relationship between scheduled macroeconomic news releases and stock market uncertainty in the United States between January 1990 and April 2021. READ MORE

  2. 2. Factors affecting liquidity in the Nordic corporate bond market : A study on MiFiR required post trade transactions

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Lundholm Markus; [2021]
    Keywords : ;

    Abstract : The Nordic corporate bond market is a market growing in significance of the financial landscape, but is rather sparsely investigated due to its low transparency characteristics. Utilizing the new EU legislative framework MiFiR, this study implements a quantitative liquidity measure on transactions reported as required by MiFiR. READ MORE

  3. 3. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Persson; Robin Williams; [2020-07-08]
    Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

    Abstract : MSc in Finance.... READ MORE

  4. 4. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
    Keywords : Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

    Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE

  5. 5. @TheRealDonaldTrump’s tweets correlation with stock market volatility

    University essay from KTH/Matematisk statistik

    Author : Isak Olofsson; [2020]
    Keywords : Donald Trump; Volatility; Cboe VIX; Twitter; Stock Market; TF-IDF; Regression analys; Statistic; Applied mathematics; Financial mathematicsis; Donald Trump; Volatilitet; Cboe VIX; Twitter; Aktiemarknaden; TF-IDF; Regressionsanalys; Statistik; Tillämpad matematik; Finansiell matematik;

    Abstract : The purpose of this study is to analyze if there is any tweet specific data posted by Donald Trump that has a correlation with the volatility of the stock market. If any details about the president Trump's tweets show correlation with the volatility, the goal is to find a subset of regressors with as high as possible predictability. READ MORE