Essays about: "vstoxx"

Found 4 essays containing the word vstoxx.

  1. 1. Can investor sentiment predict the European size premium? An empirical investigation of regional size premium predictability

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Julian Ziemer; Lappalainen Arttu; [2023]
    Keywords : Size Premium; Investor Sentiment; Return Predictability; Behavioral Finance; Business and Economics;

    Abstract : Research on the determinants of the size premium, i.e. that small stocks on average outperform large stocks, has traditionally focused on financial and macroeconomic factors. However, recent academic studies shed light on the influence of behavioral factors on the size premium, specifically investor sentiment. READ MORE

  3. 2. 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

  4. 3. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Olena Mickolson; [2010]
    Keywords : implicit volatility; historical volatility; model-free implied volatility; VSMI; VSTOXX; Business and Economics;

    Abstract : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. READ MORE

  5. 4. Explaining Credit Default Swap Index Spreads - A Study of the iTraxx Index

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Carina Gripsten; Maja Bergström; [2007]
    Keywords : Credit Default Swap Index; European iTraxx index; Credit risk; Merton model; Credit spread;

    Abstract : In this paper we investigate the relationship between the European iTraxx spreads and the theoretical determinants suggested by the Merton model during the period from June 2004 to September 2006. The Merton model suggests that leverage, volatility and the risk-free rate should influence credit spreads. READ MORE