Does NVIX matter for market volatility? Evidence from Asia-Pacific markets

DOI10.1016/J.PHYSA.2017.10.025OpenAlexW2765719441MaRDI QIDQ2148195

Libo Yin, Zhi Su, Tong Fang

Publication date: 23 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.10.025

zbMATH Keywords

uncertaintystock market volatilityGARCH-MIDASnews-based implied volatilityvolatility predictability

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Volatility smile as relativistic effect
• The role of news-based implied volatility among US financial markets
• Nonlinear joint dynamics between prices of crude oil and refined products
• The Impact of Uncertainty Shocks
• CAN STATISTICAL PHYSICS CONTRIBUTE TO THE SCIENCE OF ECONOMICS?

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