The influence of shock signals on the change in volatility term structure
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DOI: 10.1016/j.econlet.2019.108593
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- Sun-Yong Choi & Changsoo Hong, 2020. "Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-26, May.
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More about this item
Keywords
Volatility term structure; Volatility index; Principal component analysis; Market shock; S&P 500 index;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
Statistics
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