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Volatile Readings

ACADEMIC ARTICLES

  • Dynamic Volatility Trading Strategies in the Currency Option Market (Dajiang Guo,2000)
  • Are combination forecasts of S&P500 volatility statistically superior? (R. Becker & A.E. Clements,2008)
  • Contemporaneous Asymmetry in GARCH processes (M. El Babsiri &  J.M. Zakoian, 2001)
  • Risk and Volatility: Econometric Models and Financial Practice (R. F. Engle, 2003)
  • Answering the skeptics: Yes,standard volatility models do provide accurate forecasts (T.G. Andersen & T. Bollerslev,1998)
  • Volatility Models (Kimio Morimune, 2007)
  • Predicting the volatility of the S&P500 stock index via GARCH models: the role of asymmetries (Basel M.A. Awartani & V. Corradi,2005)
  • Analyical Evaluation of Volatility Forecasts (T.G. Andersen & T. Bollerslev & N. Meddahi, 2004)
  • Forecasting Volatility: A reality check based on Option Pricing, Utility Function, Value-at-Risk and Predictive Likelihood (G.Gonzalez-Rivera & Tae-Hwy Lee & Santosh Mishra,2004)
  • Asymmetric Information about Volatility: How does it Affect Implied Volatility, Option prices and Market Liquidity?
  • The predictability of asset returns: an approach combining technical analysis and time series forecasts (Y.Feng & D. Xu,2003)
  • A unified trading strategy combining technical  trading rules and time series econometrics (D.Van Dyk, 2000)
  • Trading Volume and Returns Relationship in Greek Stock Index Futures Market: GARCH vs GMM (C.Floros & D.Vougas, 2007)

BOOKS

  1. Volatility Trading (Euan Sinclair – Wiley Trading)
  2. The Volatility Surface: A Practitioner’s Guide (Jim Gatheral – Wiley Finance)

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