Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

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 that there is a long-run equilibrium...

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Bibliographic Details
Main Authors: Jeng-Bau Lin, Chin-Chia Liang, Wei Tsai
Format: Article
Language:English
Published: MDPI AG 2019-07-01
Series:Sustainability
Subjects:
short-term speculative spread
fear gauge
global political and economic events
multiple structural changes
linear granger causality test
nonlinear granger causality test
Online Access:https://www.mdpi.com/2071-1050/11/14/3906

Internet

https://www.mdpi.com/2071-1050/11/14/3906

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