Tail comovements of implied volatility indices and global index futures returns predictability
Year of publication: |
2023
|
---|---|
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
|
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 |
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