Nishina, Kazuhiko; Maghrebi, Nabil; Holmes, Mark J. - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 03, pp. 1250007-1
This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. markets suggests that there are indeed regime-specific levels of...