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

DOI10.1016/J.PHYSA.2017.10.025MaRDI QIDQ2148195zbMATH OpenOpenAlexFDO

Authors Zhi Su, T. Fang, Libo Yin

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

GARCH-MIDASnews-based implied volatilitystock market volatilityuncertaintyvolatility predictability

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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

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