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  • 05 31 21隐含波动率

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    Cheng Wu
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    This document provides summaries for 10 research articles on modeling and predicting implied volatility in China's stock market. The articles cover topics such as empirical studies of volatility of the CSI 50 ETF, forecasting volatility from the perspective of implied volatility, the impact and spillover effects of international oil markets based on implied volatility, modeling and pricing options using CSI 50 ETF options, designing and applying a volatility index based on CSI 50 ETF options, measuring implied volatility of the CSI 50 ETF and using it for warning studies, innovation of volatility indexes for China's option market and learning from US experience, constructing and testing adaptive implied volatility using options, and the predictive ability of stock market implied volatility on corporate bond credit spreads

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    05-31-21隐含波动率

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    This document provides summaries for 10 research articles on modeling and predicting implied volatility in China's stock market. The articles cover topics such as empirical studies of volatility of the CSI 50 ETF, forecasting volatility from the perspective of implied volatility, the impact and spillover effects of international oil markets based on implied volatility, modeling and pricing options using CSI 50 ETF options, designing and applying a volatility index based on CSI 50 ETF options, measuring implied volatility of the CSI 50 ETF and using it for warning studies, innovation of volatility indexes for China's option market and learning from US experience, constructing and testing adaptive implied volatility using options, and the predictive ability of stock market implied volatility on corporate bond credit spreads

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    8 views2 pages

    05 31 21隐含波动率

    Uploaded by

    Cheng Wu
    This document provides summaries for 10 research articles on modeling and predicting implied volatility in China's stock market. The articles cover topics such as empirical studies of volatility of the CSI 50 ETF, forecasting volatility from the perspective of implied volatility, the impact and spillover effects of international oil markets based on implied volatility, modeling and pricing options using CSI 50 ETF options, designing and applying a volatility index based on CSI 50 ETF options, measuring implied volatility of the CSI 50 ETF and using it for warning studies, innovation of volatility indexes for China's option market and learning from US experience, constructing and testing adaptive implied volatility using options, and the predictive ability of stock market implied volatility on corporate bond credit spreads

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    隐含波动率建模与预测 ——基于滚动 VAR 模型的 50ETF 期权实证研究

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    上证 50ETF 波动率的实证研究
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    我国股市波动率预测及策略应用研究 ——基于隐含波动率的视角
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    国际原油市场的影响及溢出效应 ——基于隐含波动率的经验研究
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    基于上证 50ETF 期权的隐含波动率及期权定价的研究


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    基于上证 50ETF 期权的波动率指数设计及应用


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    上证 50ETF 的隐含波动率测度及其预警研究
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    中国波动率指数期权创新及美国经验借鉴研究
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    适应性期权隐含波动率：构建与市场检测
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    股票市场隐含波动率对公司债信用利差的预测能力
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    期权波动率策略在我国市场上的实证研究
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