Implied Volatility and Rebalancing Timing: Market cycles and the relationship between implied volatility indices and stock index returns.

The ranging strategy is based on at support and resistane levels, and as the. name suggests, it is trading the range between the support

We found the properties of fractional Brownian motion interesting, as we saw how the models implied volatility is heavily affected by the value of the Hurst and the difference in

According to the feedback hypothesis, increased volatility in the stock market causes higher expected return, meaning that the volatility is the primary effect and the

This thesis investigates the relationship between macroeconomic uncertainty and stock market volatility, and how volume of trade is affected by changes in

From the data, they find that economic policy uncertainty results in higher stock market volatility.. “Distilling the Macroeconomic Flow” by Beber, Brandt and Luisi

This paper investigates how domestic individual investors, financial investors and foreign in- vestors affect stock return volatility on the Norwegian stock market, using

We conclude that the QMS(J12K3) in the Nordic market delivers higher net returns than the MSCI Nordic Index, with lower volatility and lower maximum drawdowns. Similar

Widely used to proxy for financial uncertainty are implied volatility indices such as Chicago Board Options Exchange Volatility Index (VIX). In addition, we use implied