Modelling and trading the U.S. implied volatility indices : evidence from the VIX, VXN and VXD indices
Ioannis Psaradellis, Georgios Sermpinis
| Year of publication: |
October-December 2016
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| Authors: | Psaradellis, Ioannis ; Sermpinis, Georgios |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 4, p. 1268-1283
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| Subject: | Implied volatility indices | Heterogeneous autoregression | Heuristics | Volatility derivatives | Exchange traded notes | Volatilität | Volatility | USA | United States | Derivat | Derivative | Aktienindex | Stock index | Optionsgeschäft | Option trading | Index | Index number | Index-Futures | Index futures | Wirtschaftsindikator | Economic indicator |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2016.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011622149