Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Year of publication: |
2023
|
---|---|
Authors: | Lu, Xinjie ; Ma, Feng ; Li, Pan ; Li, Tao |
Subject: | COBE-implied volatility index | GARCH-MIDAS model | Markov regime switching | newspaper-based equity market volatility | Oil futures market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Index | Index number | Aktienmarkt | Stock market | Index-Futures | Index futures |
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