Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information
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DOI: 10.3390/su11143906
Abstract: This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show… read more here.
Keywords: long run; oil; relationships oil; implied volatilities ... See more keywords