Directional predictability of implied volatility : from crude oil to developed and emerging stock markets
Elie Bouri, Donald Lien, David Roubaud, Syed Jawad Hussain Shahzad
| Year of publication: |
2018
|
|---|---|
| Authors: | Bouri, Elie ; Lien, Da-hsiang Donald ; Roubaud, David ; Shahzad, Syed Jawad Hussain |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 27.2018, p. 65-79
|
| Subject: | VIX | Developed and emerging stock markets | Directional predictability | Oil implied volatility | Quantile dependence | Stock implied volatility | Volatilität | Volatility | Aktienmarkt | Stock market | Schwellenländer | Emerging economies | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Welt | World | Erdöl | Petroleum | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.02.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012006745