The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships
Year of publication: |
2014
|
---|---|
Authors: | Adhikari, Binay K. ; Hilliard, Jimmy E. |
Published in: |
International Journal of Financial Markets and Derivatives. - Inderscience Enterprises Ltd, ISSN 1756-7130. - Vol. 3.2014, 3, p. 222-240
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | Granger causality | implied volatility | realised volatility | S%P 500 | S%P 100 | VIX | VXO | contemporaneous relationships | lagged relationships |
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