The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX
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DOI: 10.1016/j.intfin.2024.102084
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More about this item
Keywords
Risk premium; Investor expectations; Volatility; VIX; Time-varying parameter model; Portfolio management;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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