Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Xinjie Lu, Feng Ma, Pan Li, Tao Li
| Year of publication: |
2023
|
|---|---|
| Authors: | Lu, Xinjie ; Ma, Feng ; Li, Pan ; Li, Tao |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 30.2023, 7, p. 960-964
|
| Subject: | COBE-implied volatility index | GARCH-MIDAS model | Markov regime switching | newspaper-based equity market volatility | Oil futures market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Index | Index number | Aktienmarkt | Stock market | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2022.2030459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014303607