Directional predictability of implied volatility: From crude oil to developed and emerging stock markets-Reference-Cited by-同舟云学术

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Directional predictability of implied volatility: From crude oil to developed and emerging stock markets

Published:2018-12 Issue: Volume:27 Page:65-79
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Bouri Elie^ORCID,Lien Donald,Roubaud David^ORCID,Shahzad Syed Jawad Hussain^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference18 articles.

1. Computation and analysis of multiple structural change models;Bai;J. Appl. Econom.,2003

2. Directional predictability from stock market sector indices to gold: a cross-quantilogram analysis;Baumöhl;Finance Res. Lett,2017

3. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?;Becker;J. Bank. Finance,2007

4. Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: evidence from implied volatility indices;Bouri;Resour. Policy,2017

5. A test for independence based on the correlation dimension;Brock;Econom. Rev.,1996

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