We are grateful to Paul D. Koch (referee) and an anonymous referee for helpful comments and suggestions.
Nonlinearities and chaotic behavior in the S&P 500 index
โ Scribed by Kevin Wynne
- Book ID
- 112728612
- Publisher
- Springer US
- Year
- 1994
- Tongue
- English
- Weight
- 94 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0197-4254
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens
The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures. ## PREVIOUSLY OBSERVED PATTERNS The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1