Breaking VIX at open : Evidence of uncertainty creation and resolution
Jingjing Chen, George J. Jiang, Chaowen Yuan, Dongming Zhu
| Year of publication: |
2021
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|---|---|
| Authors: | Chen, Jingjing ; Jiang, George J. ; Yuan, Chaowen ; Zhu, Dongming |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 124.2021, p. 1-16
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| Subject: | VIX index | Uncertainty creation | Uncertainty resolution | Macroeconomic announcements | Out-of-sample forecasts | Trading strategy | Risiko | Risk | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | Aktienindex | Stock index | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106060 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816579