The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk
Year of publication: |
2022
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Authors: | Li, Leon |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 105.2022, p. 1-8
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Subject: | Crude oil volatility index | Markov-switching model | VECM | VIX | Volatilität | Volatility | Börsenkurs | Share price | Aktienindex | Stock index | Markov-Kette | Markov chain | Index | Index number | Schätzung | Estimation | Ölpreis | Oil price | Indexberechnung | Index construction |
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