Dynamic relations of uncertainty expectations : a conditional assessment of implied volatility indices
Year of publication: |
2013
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Authors: | Siriopoulos, Costas ; Fassas, Athanasios |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 16.2013, 3, p. 233-266
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Subject: | Implied volatility indices | VIX | Transmission of uncertainty | Dynamic conditional correlation | Theorie | Theory | Volatilität | Volatility | Risiko | Risk | ARCH-Modell | ARCH model | Index-Futures | Index futures | EU-Staaten | EU countries |
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