Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information
Abstract
This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show that there is a long-run equilibrium relationship between oil prices and OVX (VIX) using the linear autoregressive distributed lag (ARDL)-bounds test. Likewise, while using the...
Paper Details
Title
Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information
Published Date
Jul 18, 2019
Journal
Volume
11
Issue
14
Pages
3906 - 3906
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