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A state-price volatility index for the U.S. government bond market

  • Published:2017-04-24 Issue: Volume:58 Page:573-597
  • ISSN:0810-5391
  • Container-title:Accounting & Finance
  • language:en
  • Short-container-title:Account Finance

Author:

Pan Zheyao12ORCID

Affiliation:

1. UQ Business School; University of Queensland; St Lucia QLD Australia

2. Otago Business School; University of Otago; Dunedin New Zealand

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Reference49 articles.

1. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

2. Exploring return dynamics via corridor implied volatility;Andersen;Review of Financial Studies,2015

3. Stock return predictability: is it there?;Ang;Review of Financial Studies,2007

4. The role of securities in the optimal allocation of risk-bearing;Arrow;Review of Economic Studies,1964

5. Measuring economic policy uncertainty;Baker;Quarterly Journal of Economics,2016

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