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A non-parametric and entropy based analysis of the relationship between the VIX and S&P500

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Allen, D.E., Kramadibrata, A., McAleer, M., Powell, R., Singh, A. K.Institute of Economic Research, Kyoto University2012-08KIER Discussion Paper827

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Summary, etc.... Index and the VIX using daily da......series for the VIX in terms of a ......our of the new VIX, introduced in......ained from the VIX also changes w......written on the VIX, which will be the focus of a...
Subject HeadingS&P500 VIX Entropy Non-Parametric Estima...

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

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Hammoudeh, Shawkat, Liu, Tengdong, Chang, Chia-Lin, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-04KIER Discussion Paper772

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Summary, etc....ty volatility) VIX index and the ...... responsive to VIX in the short- ......migration from VIX. The 2007-2008 Great Recessio...
Subject HeadingRisk Sectoral CDS VIX SMOVE MOVE Adjustments

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

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Ishida, Isao, McAleer, Michael, Oya, KosukeInstitute of Economic Research, Kyoto University2011-02KIER Discussion Paper759

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Summary, etc....atility index (VIX). Intraday hig...... the price and VIX processes divided by the prod...
Subject HeadingContinuous time high frequency data stochastic volatility S&P 500 implied volatility VIX

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

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Casarin, Roberto, Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper784

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Summary, etc.... namely VaR of VIX futures prices, and extends t...
Subject Heading...t Basel Accord VIX futures Bayesian strategy qua...

Risk Modelling and Management: An Overview

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Chang, Chia-Lin, Allen, David E., McAleer, Michael, Perez Amaral, TeodosioInstitute of Economic Research, Kyoto University2013-07KIER Discussion Paper872

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Summary, etc....lue-at-risk of VIX futures, fast clustering of G...
Subject Heading...nt forecasting VIX futures fast clustering mixtu...

Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

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Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-03KIER Discussion Paper761

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Summary, etc.... namely VaR of VIX futures prices. We examine ho...
Subject Heading...asel II Accord VIX futures global financial cris...

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