Relationships Between Implied Volatility Indexes and Stock Index Returns
By P. Giot. 2005
442 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/86c83aca1f90335858cbbb36be323ec137b008aa
How researchers see this paper
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In Economics and Econometrics
- Raphael N. Markellos
- Emilia Tzagkaraki
- Eirini Konstantinidi
- Dimitris Psychoyios
- George Skiadopoulos
- George Dotsis
- Marcelo C. Medeiros
- Marcelo Fernandes
In Finance
- Emilia Tzagkaraki
- Eirini Konstantinidi
- Raphael N. Markellos
- Marcelo C. Medeiros
- Marcelo Fernandes
- Marcel Scharth
- Dimitris Psychoyios
- George Dotsis
Citations in the corpus
- A behavioral explanation for the negative asymmetric return–volatility relation (2008, unknown): “Finally, Giot (2005) shows that there is a strong negative relation between contemporaneous changes in implied volatility and the underlying stock index for both the S&P 100 and the Nasdaq 100 indexes (the old VIX and VXN).”
- A jump diffusion model for VIX volatility options and futures (2010, background): “and Miller, 2003; Simon, 2003, and, Giot, 2005 ).”
- Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “Economically, the slope of βT = 1, means that most of the variations in the slope of the yield curve are due to variations in risk-premium, not to the expected change of inflation.”
- Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “…studies have already explored the relationship of implied volatility with a number of economic variables in a contemporaneous setting (see e.g., Franks and Schwartz, 1991, Fleming et al., 1995, Whaley, 2000, Davidson et al., 2001, Mixon, 2002, Simon, 2003, Bollen and Whaley, 2004, and Giot, 2005b).”
- Modeling and predicting the CBOE market volatility index (2014, result): “This is consistent with the evidence in the literature (see, among others, Fleming et al., 1995; Giot, 2005).”
- Is VIX an investor fear gauge in BRIC equity markets (2012, background): “Giot (2005) finds that future returns are always positive (negative) after very high (low) levels of VXO, suggesting that high levels of VXO indicate oversold markets.”