Modeling and predicting the CBOE market volatility index

Journal of Banking and Finance

Volumn 40, Issue 1, 2014, Pages 1-10

  Fernandes, Marcelo ^a,b   Medeiros, Marcelo C ^c   Scharth, Marcel ^d  

^a FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^d UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Heterogeneous autoregression; Implied volatility; Neural networks; VIX

Indexed keywords

EID: 84890319583     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.11.004     Document Type: Article

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