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5 research outputs found
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Author
A Chao
A Golan
+48 more
A Golan
A K Bera
A N Kolmogorov
A N Kolmogorov
A Orlitsky
A Sepp
Abhay Kumar-Singh
B Huskaj
C A Sims
C Alexander
C E Shannon
C Granger
C L Chang
D G Horvitz
D Holste
David E. Allen
E Maasoumi
E Maasoumi
E Soo
E T Jaynes
G A Miller
G J Chaitin
H C Thode
H Jereys
I Ishida
I J Good
J Hausser
J Hausser
J S Racine
K Demeter
L Edrington
M Brenner
M Caporin
M Mcaleer
Michael McAleer
N Ebrahimi
R E Krichevsky
R E Whaley
R F Engle
R Koenker
R Solomono
R W Koenker
Robert J. Powell
S Pincus
S Trybula
T Hayeld
T Sch�rmann
W Perks
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
Full text link
Crossref
Two Order Books Are Better than One? Trading at Settlement (TAS) in VIX Futures
Author
A Admati
B Hagstr�mer
+14 more
B Huskaj
Bujar Huskaj
F Foster
H Degryse
J Eaves
J Mackinnon
Lars L. Norden
M Bertrand
P Jain
R Wood
T Copeland
W Fuller
W Newey
W Newey
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
VIX Futures Calendar Spreads
Author
A Frino
A Frino
+26 more
A Frino
Ai Jun Hou
B Huskaj
C Granger
C Lee
D Breeden
D Egloff
F Black
G Bakshi
H L�tkepohl
H Stoll
J Chaput
J Chaput
J Chaput
J Cox
J Hasbrouck
J Liu
K Chan
L Harris
R Fahlenbrach
S Ross
T Johnson
W C Tsai
W Newey
W Newey
Z Lu
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Author
24% 28%
B Huskaj
+39 more
C Borio
C P�rignon
Chia-Lin Chang
D B Nelson
F Black
G Stahl
G Zumbauch
J A Lopez
J Berkowitz
J.-A Jimenez-Martin
Juan-Angel Jiménez-Martin
L Glosten
M Caporin
M Caporin
M Gizycki
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
M Mcaleer
Michael McAleer
N Shephard
P H Franses
P Jorion
R E Whaley
R F Engle
Riskmetrics
S Ling
S Ling
S Ling
S Ling
T Bollerslev
Teodosio Perez Amaral
W K Li
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures?
Author
A Neuberger
A P Fassas
+53 more
B Dupire
B Dupire
B Huskaj
B Nieto
C Alexander
D Egloff
D Galai
D Simon
E Derman
E Derman
E Derman
E Konstantinidi
E Szado
F Black
G Bakshi
G L Gastineau
I O Asensio
J C Cox
J Fleming
J Jab?ecki
J R Jab?ecki
Juliusz Jab?ecki
Juliusz Jablecki
K Chen
K Demeterfi
M Brenner
M Briere
M E Kitces
M Kolanovic
M T Moran
N P B Bollen
O Bondarenko
O Signori
P Carr
P Carr
P Carr
P Carr
P Carr
P Giot
Pawel Sakowski
Piotr Wojcik
R C Merton
R E Whaley
R Goubuzaite
R Hafner
R Herrmann
R T Daigler
Robert Slepaczuk
Ryszard Kokoszczynski
S Bossu
S Dash
T G Andersen
Y Yamai
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref