Stefan Albers

2024

• The daily rise and fall of the VIX1D: causes and solutions of its overnight biasAlbers, S. & Kestner, L. N., Apr 2024, In: Finance Research Letters. 62, 15 p., 105186Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Disturbed Correlations: On the varying Sensitivity of VIX Futures to extreme S&P 500 ReturnsAlbers, S., Geisler, T. & Kuhn, H., 2024Electronic (full-text) versionResearch output: Preprint/documentation/report > Working paper
• Forecasting the Uncertainty about VIX Futures Prices: VVIX Predictions with exogenous DriversAlbers, S., 2024Electronic (full-text) versionResearch output: Preprint/documentation/report > Working paper
• What Drives the Ambiguity about Stock Market Volatility in Europe? Insights from the V-VSTOXXAlbers, S. & Reiter, P., 2024Electronic (full-text) versionResearch output: Preprint/documentation/report > Working paper

2023

• Contagious Uncertainty: Implied Volatility Spillover Effects between the Credit VIX Indices and main Asset Classes in North America and EuropeAlbers, S., 30 Dec 2023, 16 p.Electronic (full-text) versionResearch output: Preprint/documentation/report > Preprint
• A new star is born: does the VIX1D render common volatility forecasting models for the U.S. equity market obsolete?Albers, S., 17 Jul 2023, Elsevier Science B.V., 33 p.Electronic (full-text) versionResearch output: Preprint/documentation/report > Preprint
• The Fear of Fear in the US Stock Market: Changing Characteristics of the VVIXAlbers, S., Jul 2023, In: Finance Research Letters. 55, 103926Electronic (full-text) versionResearch output: Contribution to journal > Research article

2020

• The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip StocksAlbers, S. & Locarek-Junge, H., 2020, p. 3-20, 18 p.Research output: Contribution to conferences > Paper