Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

Raquel López

Year of publication:	December 2015
Authors:	López, Raquel
Published in:	International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 42.2015, p. 292-303
Subject:	Implied volatility \| Volatility index \| Treasury \| Implied volatility spillovers \| News announcements \| Volatilität \| Volatility \| USA \| United States \| Staatspapier \| Government securities \| Ankündigungseffekt \| Announcement effect \| Aktienindex \| Stock index \| Optionsgeschäft \| Option trading \| Spillover-Effekt \| Spillover effect \| Schätzung \| Estimation

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