Essays about: "VIX"

Showing result 6 - 10 of 41 essays containing the word VIX.

1. 6. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Filippa Lövgren; Julian Marvin Ulmer; [2022]
   Keywords : Machine Learning; Support Vector Machines; VIX; Volatility Timing; Portfolio Construction; Business and Economics;

   Abstract : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. READ MORE

3. 7. 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 paper is 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

4. 8. 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

5. 9. 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 : The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. READ MORE

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

   University essay from 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