Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy

L Feng, J Qi, B Lucey - International Review of Financial Analysis, 2024 - Elsevier
This study proposes a novel parameter tuning strategy, daily dynamic tuning, and applies it
to forecast volatility in the cryptocurrency market. Comparative analysis with HAR-RV and …

Trading activity of VIX futures and options around FOMC announcements

HG Huang, WC Tsai, JJ Yang - International Review of Financial Analysis, 2024 - Elsevier
This research investigates the information content of volatility trading in VIX derivatives
under a high-frequency framework. We provide empirical evidence that the abnormal order …