Breaking VIX at open: Evidence of uncertainty creation and resolution

Author:

Chen Jingjing,Jiang George J.,Yuan Chaowen,Zhu Dongming

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference57 articles.

1. Modeling and Forecasting Implied Volatility- An Econometric Analysis of the VIX Index. Working Paper;Ahoniemi,2006

2. Overnight stock returns and realized volatility;Ahoniemi;Int. J. Forecast.,2013

3. Resolution of policy uncertainty and sudden declines in volatility;Amengual;J. Econometrics,2018

4. Deutsche Mark-Dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;J. Finance,1998

5. Micro effects of macro announcements: real-time price discovery in foreign exchange;Andersen;Am. Econ. Rev.,2003

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