Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach
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DOI: 10.1016/j.irfa.2019.06.001
Abstract: Abstract This paper investigates the predictive ability of the Unites States (US) volatility risk index toward the European and Asian volatility risk indexes, and vice versa. We use the Hammerstein-ARX approach to model dependency between… read more here.
Keywords: hammerstein arx; volatility risk; implied volatility; volatility ... See more keywords