Index volatility and the put-call ratio: a tale of three markets

DOI10.1080/14697688.2020.1814009zbMath1471.91568OpenAlexW3093590376MaRDI QIDQ4957256

Nan Huang, Jianhua Gang, Ke Song, Ruyi Zhang

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814009

zbMATH Keywords

optionfuturesMGARCHPCRSSE50-ETF

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Hypothesis Testing with Efficient Method of Moments Estimation
• Leveraging a call-put ratio as a trading signal
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