Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility
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DOI: 10.1016/j.jcomm.2024.100425
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More about this item
Keywords
Crude oil volatility index (OVX); Volatility; Volatility-of-volatility; Volatility feedback effect; Risk diversification;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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