The role of news-based implied volatility among US financial markets

DOI10.1016/J.ECONLET.2017.05.028zbMath1398.62326OpenAlexW2620460855MaRDI QIDQ1782289

Zhi Su, Tong Fang, Libo Yin

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.05.028

zbMATH Keywords

financial marketspredictabilitylong-term volatilitynews-based implied volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• The Impact of Uncertainty Shocks

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