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

DOI10.1016/J.ECONLET.2017.05.028MaRDI QIDQ1782289zbMATH OpenOpenAlexFDO

Authors Zhi Su, T. 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

predictabilityfinancial marketslong-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

Cited in

(4)

• Does NVIX matter for market volatility? Evidence from Asia-Pacific markets
• News impact curve for stochastic volatility models
• Early News is Good News: The Effects of Market Opening on Market Volatility
• S&P 500 volatility, volatility regimes, and economic uncertainty

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