Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Futures Markets"
DOI: 10.1002/fut.21838
Abstract: This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is… read more here.
Keywords: index futures; vix futures; 500 index; futures basis ... See more keywords
A constrained cluster-based approach for tracking the S&P 500 index
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Production Economics"
DOI: 10.1016/j.ijpe.2017.07.018
Abstract: We consider the problem of tracking a benchmark target portfolio of financial securities in particular the S&P 500. Linear integer programming models are developed that seeks to track a target ... read more here.
Keywords: tracking 500; constrained cluster; cluster based; approach tracking ... See more keywords
Information content of right option tails: Evidence from S&P 500 index options
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asset Management"
DOI: 10.1057/s41260-017-0049-4
Abstract: In this study, we investigate how useful the information content of out-of-the-money S&P 500 index call options is to predict the size and direction of the underlying index for the period 2004–2013. First, we demonstrate… read more here.
Keywords: index; information; option; 500 index ... See more keywords
The impact of COVID-19 on the standard & poor 500 index sectors: a multivariate generalized autoregressive conditional heteroscedasticity model
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Chinese Economic and Foreign Trade Studies"
DOI: 10.1108/jcefts-08-2020-0049
Abstract: Purpose: This paper aims to examine the impact of the daily growth rate of COVID-19 cases in the USA (COVIDg), the Federal Fund Rate (FFR) and the trade-weighted US dollar index (USDX) on SPfirst, January… read more here.
Keywords: covid standard; poor 500; 500 index; impact covid ... See more keywords
Predicting Stock Market Indices Using Classification Tools
Sign Up to like & getrecommendations! Published in 2019 at "Asian Economic and Financial Review"
DOI: 10.18488/journal.aefr.2019.92.243.256
Abstract: Increasing interest has been shown in the use of classifiers to extract informative patterns from time series data generated by monitoring financial phenomena. This paper investigates data mining and pattern recognition methods in forecasting the… read more here.
Keywords: poor 500; time series; 500 index; classification ... See more keywords