Are volatility indices in international stock markets forward looking?

DOI10.1007/BF03191911zbMath1180.62150OpenAlexW1574337147MaRDI QIDQ5852472

Alfonso Novales, Maria Teresa González

Publication date: 27 January 2010

Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/43699

zbMATH Keywords

Granger causalityvolatility forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices

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