Skew index: Descriptive analysis, predictive power, and short-term forecast
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DOI: 10.1016/j.najef.2020.101356
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Cited by:
- Campisi, Giovanni & Muzzioli, Silvia & De Baets, Bernard, 2024. "A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices," International Journal of Forecasting, Elsevier, vol. 40(3), pages 869-880.
- Esteban Vanegas & Andrés Mora-Valencia, 2025. "Skew Index: a machine learning forecasting approach," Risk Management, Palgrave Macmillan, vol. 27(1), pages 1-60, February.
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More about this item
Keywords
Skew Index; VIX; Fear index; GARCH;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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