Financial instability and the short-term dynamics of volatility expectations
Nabil Maghrebi, Mark J. Holmes and Kosuke Oya
| Year of publication: |
2014
|
|---|---|
| Authors: | Maghrebi, Nabil ; Holmes, Mark J. ; Oya, Kosuke |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 4/6, p. 377-395
|
| Subject: | financial stability | Markov regime-switching model | model-free volatility index | nonlinear modelling | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Konjunktur | Business cycle |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010399697