Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices
Over the past couple of decades, the number of volatility indices has increased rapidly. These indices seek to represent the market’s expectation of realized volatility over the coming month, based on the prices of options traded on each underlying equity index. Although the dynamics of realized vol...
| Main Author: | |
|---|---|
| Format: | Others |
| Published: |
Scholarship @ Claremont
2018
|
| Subjects: | |
| Online Access: | http://scholarship.claremont.edu/cmc_theses/1772 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2845&context=cmc_theses |