The jump component of S&P 500 volatility and the VIX index

145 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020, unknown): “As for choosing these indicators, we mainly consider that VIX is a barometer of the overall market sentiment (Becker et al., 2009) and newspaper based daily EPU index can capture both near-term concerns and longer-term concerns (Baker et al.”
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020, methodology): “Becker et al. (2009) find that VIX subsumes information relating to past jump contributions to aggregate volatility, and reflects information of future jump activity. Bekaert and Hoerova (2014) indicate that VIX has a high predictive power for financial instability.”
Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks? (2011, result): “Becker et al. (2009) find that VIX captures prior and future jump risk and has more information when compared to econometric model-based forecasts.”