Modelling the joint dynamics of oil prices and investor fear gauge
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More about this item
KeywordsOVX; Implied volatility index; Fear gauge; Time-varying relationship; TVP GARCH model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- F39 - International Economics - - International Finance - - - Other
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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