Impacts of oil implied volatility shocks on stock implied volatility in China : Empirical evidence from a quantile regression approach
Jihong Xiao, Chunyan Hu, Guangda Ouyang, Fenghua Wen
| Year of publication: |
2019
|
|---|---|
| Authors: | Xiao, Jihong ; Hu, Chunyang ; Ouyang, Guangda ; Wen, Fenghua |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 297-309
|
| Subject: | Chinese stock market | Gradual information diffusion hypothesis | Implied volatility indices | Oil market | Quantile regression | Volatilität | Volatility | China | Aktienmarkt | Stock market | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Ölmarkt |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.01.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172448