S&P 500 volatility, volatility regimes, and economic uncertainty
Bahram Adrangi, Arjun Chatrath, Kambiz Raffiee
| Year of publication: |
2023
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|---|---|
| Authors: | Adrangi, Bahram ; Chatrath, Arjun ; Raffiee, Kambiz |
| Published in: |
Bulletin of economic research. - Oxford : Wiley-Blackwell, ISSN 1467-8586, ZDB-ID 1473655-X. - Vol. 75.2023, 4, p. 1362-1387
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| Subject: | economic policy uncertainty | GARCH-MIDAS | quantile regression | regime switching Markov Chain regression | VIX | volatility | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Markov-Kette | Markov chain | Wirtschaftspolitik | Economic policy | Risiko | Risk | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätzung | Estimation | Welt | World |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/boer.12406 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014436045