Discerning lead-lag between fear index and realized volatility
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More about this item
Keywordsimplied volatility; realized volatility; inter-market correlation; VIX; OVX; GVZ;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-06-04 (All new papers)
- NEP-DCM-2017-06-04 (Discrete Choice Models)
- NEP-MAC-2017-06-04 (Macroeconomics)
- NEP-RMG-2017-06-04 (Risk Management)
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