Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model
Saif Siddiqui, Preeti Roy
| Year of publication: |
2019
|
|---|---|
| Authors: | Siddiqui, Saif ; Roy, Preeti |
| Published in: |
Decision. - Calcutta : Inst., ISSN 0304-0941, ZDB-ID 196771-X. - Vol. 46.2019, 3, p. 239-252
|
| Subject: | Nifty50 returns | India VIX | Asymmetry | Trading volume | Quantile | Volatilität | Volatility | Handelsvolumen der Börse | Indien | India | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40622-019-00218-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116134