Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices

By I. Psaradellis, Georgios Sermpinis. 2016

46 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Economics & Operations Research, Time-Series & Forecasting

How researchers see this paper

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

In Economics and Econometrics

1. Omer Berat Sezer
2. A. Ozbayoglu
3. M. Ugur Gudelek
4. Lateef Akanni
5. Afees A. Salisu

In Finance

1. M. Ugur Gudelek
2. A. Ozbayoglu
3. Omer Berat Sezer
4. Afees A. Salisu
5. Lateef Akanni
6. Weiwei Jiang
7. Longbing Cao

In Economics & Operations Research

1. A. Ozbayoglu
2. M. Ugur Gudelek
3. Afees A. Salisu
4. Omer Berat Sezer

In Time-Series & Forecasting

1. M. Ugur Gudelek
2. Omer Berat Sezer
3. A. Ozbayoglu
4. Weiwei Jiang
5. Longbing Cao

Citations in the corpus

• Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019 (2019, methodology): “[149] VIX, VXN, VXD 2002-2014 First five autoregressive lags 5d 1d, 22d HARGASVR MAE, RMSE -”
• Constructing a Global Fear Index for the COVID-19 Pandemic (2020, background): “See Balcilar and Demirer (2015); Psaradellis and Sermpinis (2016); Taylor (2019); Wang (2019); Zhu et al. (2019) and Yun (2020).”