A grey-based correlation with multi-scale analysis : S&P 500 VIX and individual VIXs of large US company stocks
Zhenkun Wang, Elie Bouri, Paulo Ferreira, Syed Jawad Hussain Shahzad, Román Ferrer
| Year of publication: |
2022
|
|---|---|
| Authors: | Wang, Zhenkun ; Bouri, Elie ; Ferreira, Paulo ; Shahzad, Syed Jawad Hussain ; Ferrer, Román |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 48.2022, p. 1-13
|
| Subject: | CBOE implied volatility (VIX) | COVID-19 | Grey correlation | US stock market | wavelet analysis | Volatilität | Volatility | Korrelation | Correlation | USA | United States | Aktienmarkt | Stock market | Coronavirus | Börsenkurs | Share price | Optionsgeschäft | Option trading | Zustandsraummodell | State space model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102872 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013459296