The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Investor Fear Gauge
Abstract
The Chicago Board Options Exchange's Market Volatility Index (VIX) is called the “investor fear gauge.” To understand why, it is necessary to understand the index's construction. To understand how VIX performs its role, it is necessary to examine its history and its relation to stock market returns. In this article, the author describes the construction of the volatility index and examines in movements over the past fourteen years.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Early-warning signals for critical transitions
Scheffer, M., Bascompte, J., Brock, W. A., Brovkin, V., Carpenter, S. R., Dakos, V., Held, H., van Nes, E. H., Rietkerk, M., & Sugihara, G. (2009) · Nature · doi:10.1038/nature08227 · Cited by 4,854
Giving content to investor sentiment: The role of media in the stock market
TETLOCK, P. C. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01232.x · Cited by 4,827
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
Krauss, C., Do, X. A., & Huck, N. (2017) · European Journal of Operational Research · doi:10.1016/j.ejor.2016.10.031 · Cited by 750
Sentiment and stock prices: The case of aviation disasters
Kaplanski, G., & Levy, H. (2010) · Journal of Financial Economics · doi:10.1016/j.jfineco.2009.10.002 · Cited by 608
Metadata
- Authors
- Whaley, R. E.
- Venue
- The Journal of Portfolio Management
- Publisher
- With Intelligence LLC
- Published
- 2000-04-30
- Volume
- 26
- Issue
- 3
- Pages
- 12-17
- ISSN
- 0095-4918 (ISSN-L)
- 2168-8656
- OpenAlex
- W2108855171
- Cited by
- 1,055
- References
- 1
- FWCI
- 4.42
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
