The empirical linkages among market returns, return volatility, and trading volume : evidence from the S&P 500 VIX Futures
Yu-Sheng Kao, Hwei-Lin Chuang, Yu-Cheng Ku
| Year of publication: |
2020
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|---|---|
| Authors: | Kao, Yu-Sheng ; Chuang, Hwei-lin ; Ku, Yu-Cheng |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-12
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| Subject: | Volatility | GJR-GARCH | S&P 500 VIX Futures | Threshold model | Trading volume | Volatilität | Handelsvolumen der Börse | Schätzung | Estimation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.10.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012667173