Tail comovements of implied volatility indices and global index futures returns predictability
Hsiu-Chuan Lee, Yun-Huan Lee, Cuong Nguyen
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Hsiu-chuan ; Lee, Yun-Huan ; Nguyen, Cuong |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 80.2023, p. 1-21
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| Subject: | index | Index futures return predictability | Tail comovements | Index-Futures | Index futures | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätzung | Estimation | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Index | Index number | Börsenkurs | Share price | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2023.102092 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463335