Modelling the joint dynamics of oil prices and investor fear gauge
Qiang Ji, Ying Fan
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Ji, Qiang ; Fan, Ying |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 37.2016, p. 242-251
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| Subject: | OVX | Implied volatility index | Fear gauge | Time-varying relationship | TVP GARCH model | Volatilität | Volatility | Ölpreis | Oil price | ARCH-Modell | ARCH model | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2015.11.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011595199