Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
Year of publication: |
2014
|
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Authors: | Zhou, Yinggang |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 38.2014, p. 216-228
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Subject: | Option-implied volatility | VIX | MOVE | Common information | Information spillover | Regime switch | Volatilität | Volatility | Aktienindex | Stock index | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Index-Futures | Index futures |
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