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Breaking VIX at open : Evidence of uncertainty creation and resolution

Chen, Jingjing; Jiang, George J.; Yuan, Chaowen; Zhu, … - In: Journal of banking & finance 124 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012816579

Content horizons for univariate time-series forecasts

Galbraith, John W. - In: International journal of forecasting 19 (2003) 1, pp. 43-55

Persistent link: https://www.econbiz.de/10001735029

Breaking VIX at Open : Evidence of Uncertainty Creation and Resolution

Jiang, George J. - 2019

We decompose daily (close-to-close) changes of VIX into overnight (close-to-open) and trading-hour (open-to-close) changes. Consistent with the notion that non-trading creates uncertainty and trading resolves uncertainty, we find that there is generally an increase in VIX overnight and decrease...

Persistent link: https://www.econbiz.de/10012868383

Forecast content and content horizons for some important macroeconomic time series

Galbraith, John W.; Tkacz, Greg - In: The Canadian journal of economics 40 (2007) 3, pp. 935-953

Persistent link: https://www.econbiz.de/10003549539

Testing the link between inflation and growth

Ambler, Steve; Van Norden, Simon - In: Price stability, inflation targets, and monetary policy …, (pp. 89-116). 1998

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Estimation of the vector moving average model by vector autoregression

Galbraith, John W.; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric reviews 21 (2002) 2, pp. 205-219

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Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure

Campbell, Bryan - In: Oxford bulletin of economics and statistics 59 (1997) 2, pp. 265-284

Persistent link: https://www.econbiz.de/10001223699