The short-run impact of investor expectations' past volatility on current predictions : the case of VIX
Bogdan Dima, Ştefana Maria Dima, Roxana Ioan
| Year of publication: |
2025
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| Authors: | Dima, Bogdan ; Dima, Ștefana Maria ; Ioan, Roxana |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1873-0612, ZDB-ID 2020265-9. - Vol. 98.2025, Art.-No. 102084, p. 1-37
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| Subject: | Investor expectations | Portfolio management | Risk premium | Time-varying parameter model | VIX | Volatility | Volatilität | Portfolio-Management | Portfolio selection | Risikoprämie | Prognoseverfahren | Forecasting model | Erwartungsbildung | Expectation formation | Börsenkurs | Share price | Schätzung | Estimation | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2024.102084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015405665