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The information content of Chinese volatility index for volatility forecasting
- Source :
- Applied Economics Letters. 28:365-372
- Publication Year :
- 2020
- Publisher :
- Informa UK Limited, 2020.
-
Abstract
- In this paper, we investigate whether the model-free implied volatility index iVX officially launched by the Shanghai Stock Exchange has incremental explanatory power for future volatility in the S...
Details
- ISSN :
- 14664291 and 13504851
- Volume :
- 28
- Database :
- OpenAIRE
- Journal :
- Applied Economics Letters
- Accession number :
- edsair.doi...........c3fd57dfa3688cb3bfa3ad5fa1e166e7
- Full Text :
- https://doi.org/10.1080/13504851.2020.1753876