Oil shocks and volatility jumps
In this paper, we analyse the role of oil price shocks, derived from expectations of consumers, economists, financial market, and policymakers, in predicting volatility jumps in the S&P500 over the monthly period of 1988:01–2015:02, with the jumps having been computed based on daily data over th...
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| Main Authors: | , , |
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| Format: | Default Article |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/37192 |
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