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Applied Economics Letters Volume 18, 2011 - Issue 15
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Original Articles

Predicting regime switches in the VIX index with macroeconomic variables

N. Baba Bank of Japan, 2-1-1 Nihonbashi-Hongokucho, Chuo-ku, Tokyo, 103-0021, Japan
&
Y. Sakurai Bank of Japan, 2-1-1 Nihonbashi-Hongokucho, Chuo-ku, Tokyo, 103-0021, JapanCorrespondence[email protected]
Pages 1415-1419 | Published online: 21 Mar 2011

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Arjun Prakash, Nick James, Max Menzies & Gilad Francis. (2021) Structural Clustering of Volatility Regimes for Dynamic Trading Strategies. Applied Mathematical Finance 28:3, pages 236-274.
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Wonho Song, Doojin Ryu & Robert I. Webb. (2018) Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach. Quantitative Finance 18:9, pages 1559-1571.
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Nicolas Huck. (2015) Pairs trading: does volatility timing matter?. Applied Economics 47:57, pages 6239-6256.
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Articles from other publishers (17)

Emre Esat TOPALOĞLU & Çiğdem KURT CİHANGİR. (2022) Risk İştahının Pay Piyasa Getirisi ve Volatilitesine Etkisi: FIEGARCH, NARDL ve Hatemi-J Modelleri ile Borsa İstanbul Üzerine Bir AraştırmaThe Effect of Risk Appetite on Equity Market Return and Volatility: A Study on Borsa Istanbul with FIEGARCH, NARDL and Hatemi-J Models. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 24:3, pages 973-1004.
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Dilara ÇONKIR, Ekrem MERİÇ & Ethem ESEN. (2021) Korku Endeksi (VIX) ile Gelişmekte Olan Ülke Borsaları Arasındaki İlişkinin Analizi: Yatırımcı Duyarlılığı Üzerine Bir ÇalışmaAnalysis of the Relationship Between the Fear Index (VIX) and Emerging Markets: A Study on Investor Sentiment. İnsan ve Toplum Bilimleri Araştırmaları Dergisi 10:1, pages 109-132.
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Oscar V. De la Torre-Torres, Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso. (2021) Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models. Mathematics 9:2, pages 185.
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Yu. A. Danilov, D. A. Pivovarov & I. S. Davydov. (2020) Some results of research on new crisis predictors. Voprosy Ekonomiki:5, pages 86-106.
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Yu. A. Danilov, D. A. Pivovarov & I. S. Davydov. (2020) On the Issue of Predicting Global Financial and Economic Crises. Finance: Theory and Practice 24:1, pages 87-104.
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Guglielmo Maria Caporale, Luis A. Gil-Alana & Trilochan Tripathy. (2020) Volatility persistence in the Russian stock market. Finance Research Letters 32, pages 101216.
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Nicolas Huck. (2019) Large data sets and machine learning: Applications to statistical arbitrage. European Journal of Operational Research 278:1, pages 330-342.
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David Allen & Vince Hooper. (2018) Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. Sustainability 10:8, pages 2695.
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Wonho Song, Doojin Ryu & Robert I. Webb. (2016) Overseas market shocks and VKOSPI dynamics: A Markov-switching approach. Finance Research Letters 16, pages 275-282.
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Carol Alexander, Julia Kapraun & Dimitris Korovilas. (2015) Trading and Investing in Volatility Products. Financial Markets, Institutions & Instruments 24:4, pages 313-347.
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Slah Bahloul & Fathi Abid. (2014) Regime-Switching Behaviour in the Conditional Volatility of MENA Stock Market Returns. Journal of Emerging Market Finance 13:3, pages 253-278.
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Mustafa Onan, Aslihan Salih & Burze Yasar. (2014) Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX. Finance Research Letters 11:4, pages 454-462.
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Jin Yong Yang, Junyoung Heo, In-Sung Yeo & Sang-Heon Lee. (2014) Does the Implied Volatility Index Have Signaling Power? Evidence from Mexico. Modern Economy 05:08, pages 869-877.
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Massimiliano Caporin. (2013) Equity and CDS sector indices: Dynamic models and risk hedging. The North American Journal of Economics and Finance 25, pages 261-275.
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David Edmund Allen & Vincent James Hooper. (2018) Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. SSRN Electronic Journal.
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Slah Bahloul & Fathi Abid. (2012) Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns. SSRN Electronic Journal.
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Massimiliano Caporin. (2012) Equity and CDS Sector Indices: Dynamic Models and Risk Hedging. SSRN Electronic Journal.
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