Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities

Journal of Banking and Finance

Volumn 38, Issue 1, 2014, Pages 216-228

  Zhou, Yinggang ^a,b  

^a The Chinese University of Hong Kong   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Common information; Information spillover; MOVE; Option implied volatility; Regime switch; VIX

Indexed keywords

EID: 84887728002     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.10.010     Document Type: Article

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