Early-warning signals for critical transitions

M Scheffer, J Bascompte, WA Brock, V Brovkin… - Nature, 2009 - nature.com
Complex dynamical systems, ranging from ecosystems to financial markets and the climate,
can have tipping points at which a sudden shift to a contrasting dynamical regime may …

Forecasting volatility in financial markets: A review

SH Poon, CWJ Granger - Journal of economic literature, 2003 - aeaweb.org
Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

[BOOK][B] Stochastic modelling and applied probability

A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Implied volatility functions: Empirical tests

B Dumas, J Fleming, RE Whaley - The Journal of Finance, 1998 - Wiley Online Library
Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset
return volatility is a deterministic function of asset price and time, and develop a deterministic …

The investor fear gauge

RE Whaley - Journal of portfolio management, 2000 - search.proquest.com
Abstract The Chicago Board of Options Exchange's Market Volatility Index (VIX) is called
the" investor fear gauge." To understand why, it is necessary to understand the index's …

Tails, fears, and risk premia

T Bollerslev, V Todorov - The Journal of finance, 2011 - Wiley Online Library
We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …

Does net buying pressure affect the shape of implied volatility functions?

NPB Bollen, RE Whaley - The Journal of Finance, 2004 - Wiley Online Library
This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in implied …

[PDF][PDF] Understanding the VIX

RE Whaley - Journal of Portfolio Management, 2009 - researchgate.net
ROBERT E. WHALEY inancial news services have begun reporting the VIX with increasing
regularity. This “new” barometer of investor fear—the Chicago Board Options Exchange …

[PDF][PDF] Towards a theory of volatility trading

P Carr, D Madan - Volatility: New estimation techniques for pricing …, 1998 - pricing.online.fr
Much research has been directed towards forecasting the volatility 1 of various
macroeconomic variables such as stock indices, interest rates and exchange rates …

Predicting stock market volatility: A new measure

J Fleming, B Ostdiek… - The Journal of Futures …, 1995 - search.proquest.com
Abstract The CBOE Market Volatility Index (VIX) is an average of S&P 100 option (OEX)
implied volatilities. As such, it represents a marketconsensus estimate of future stock market …