Dynamics and determinants of spillovers across the option-implied volatilities of US equities
Year of publication: |
2020
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Authors: | Bouri, Elie ; Lucey, Brian M. ; Roubaud, David |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 75.2020, p. 257-264
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Subject: | US VIX | Option-implied volatility | Large US equities | Directional connectedness | Determinants of spillovers | Spillover-Effekt | Spillover effect | Volatilität | Volatility | USA | United States | Schätzung | Estimation | Börsenkurs | Share price | Aktienmarkt | Stock market | ARCH-Modell | ARCH model |
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