Dynamic responses of Standard and Poor's Regional Bank Index to the U.S. fear index, VIX
Year of publication: |
2021
|
---|---|
Authors: | Adrangi, Bahram ; Chatrath, Arjun ; Kolay, Madhuparna ; Raffiee, Kambiz |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 3, p. 1-18
|
Publisher: |
Basel : MDPI |
Subject: | volatility | Kalman filter | spectral analysis | Standard and Poor's Regional Bank Index |
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