Does the volatility of volatility risk forecast future stock returns?
Ruijun Bu, Xi Fu, Fredj Jawadi
| Year of publication: |
2019
|
|---|---|
| Authors: | Bu, Ruijun ; Fu, Xi ; Jawadi, Fredj |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 61.2019, p. 16-36
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| Subject: | CBOE VVIX | Corridor VVIX | Stock return predictability | VIX options | Volatility of volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Prognose | Forecast | Welt | World | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2019.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012128269