Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices
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References listed on IDEAS
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More about this item
KeywordsMarkov Regime Switching; Implied Volatility Index; Nonlinear Modelling.;
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-28 (All new papers)
- NEP-CFN-2006-07-28 (Corporate Finance)
- NEP-ETS-2006-07-28 (Econometric Time Series)
- NEP-FIN-2006-07-28 (Finance)
- NEP-IFN-2006-07-28 (International Finance)
- NEP-SEA-2006-07-28 (South East Asia)
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