S&P 500 volatility, volatility regimes, and economic uncertainty

DOI10.1111/boer.12406zbMath1530.91561MaRDI QIDQ6066273

Bahram Adrangi, Kambiz Raffiee, Arjun Chatrath

Publication date: 15 November 2023

Published in: Bulletin of Economic Research (Search for Journal in Brave)

zbMATH Keywords

quantile regressionvolatilityVIXGARCH-MIDASeconomic policy uncertaintyregime switching Markov chain regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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