Dynamics and determinants of spillovers across the option-implied volatilities of US equities
Elie Bouri, Brian Lucey, David Roubaud
| Year of publication: |
2020
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| Authors: | Bouri, Elie ; Lucey, Brian M. ; Roubaud, David |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 75.2020, p. 257-264
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| Subject: | US VIX | Option-implied volatility | Large US equities | Directional connectedness | Determinants of spillovers | Volatilität | Volatility | Spillover-Effekt | Spillover effect | USA | United States | Schätzung | Estimation | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2019.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416566