Concepedia

Volatility Index Modeling

Volatility Index Modeling is a quantitative framework within financial econometrics that specifically characterizes the dynamics and structure of implied volatility indices, such as the VIX, by modeling their formation, evolution, and relationship to underlying asset volatility and market expectations.

81

Publications

4K

Citations

190

Authors

146

Institutions

Publications per year

2017–2026

40

Parents

Publications

81

What is the Expected Return on the Market?*

Ian Martin · The Quarterly Journal of Economics · 2016 · 553 citations · Full text

, , +17

A Theory of Volatility Spreads

Gurdip Bakshi, Dilip B. Madan · Management Science · 2006 · 303 citations

, , +17

Volatility Jumps

Viktor Todorov, George Tauchen · Journal of Business and Economic Statistics · 2010 · 212 citations

, , +17

Supply chain 2.0 revisited: a framework for managing volatility-induced risk in the supply chain

Martin Christopher, Matthias Holweg · International Journal of Physical Distribution & Logistics Management · 2017 · 183 citations

, , +15

VIX futures

Jin E. Zhang, Yingzi Zhu · Journal of Futures Markets · 2006 · 182 citations

, , +16

1–5 of 81

Authors

190

  1. JE
    Jin E. Zhang

    University of Otago, New Zealand

    3 publications · 266 citations

    3

    h-index

  2. IM
    Ian Martin

    London School of Economics and Political Science, United Kingdom

    3 publications · 607 citations

    3

    h-index

  3. TL
    Travis L. Johnson

    The University of Texas at Austin, United States

    2 publications · 131 citations

    2

    h-index

  4. HK
    Haidong Kan

    Fudan University, China

    2 publications · 59 citations

    2

    h-index

  5. GB
    Gurdip Bakshi

    Temple University, United States

    2 publications · 347 citations

    2

    h-index

1–5 of 190

Institutions

146

  1. Fudan University

    Shanghai, China

    3 h-index

    8 publications

    184 citations

  2. University of Vaasa

    Vaasa, Finland

    3 h-index

    3 publications

    222 citations

  3. Peking University

    Beijing, China

    3 h-index

    4 publications

    166 citations

  4. Southwestern University of Finance and Economics

    Chengdu, China

    3 h-index

    5 publications

    138 citations

  5. University of International Business and Economics

    Beijing, China

    3 h-index

    5 publications

    137 citations

  6. University of Johannesburg

    Johannesburg, South Africa

    2 h-index

    2 publications

    27 citations

  7. National Kaohsiung First University of Science and Technology

    Kaohsiung City, Taiwan

    2 h-index

    2 publications

    24 citations

  8. University of Hong Kong

    Pok Fu Lam, Hong Kong

    2 h-index

    2 publications

    256 citations

1–8 of 146

Venues

  1. Journal of Futures Markets

    9 publications · 448 citations

    9

    h-index

  2. SSRN Electronic Journal

    Repository · 7 publications · 168 citations

    7

    h-index

  3. Journal of risk and financial management

    JRFM · 3 publications · 36 citations

    3

    h-index

  4. Applied Economics

    3 publications · 110 citations

    3

    h-index

  5. 2

    h-index

1–5