Cargando…

Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?

This paper uses transfer entropy measures to analyze the information sharing between the option implied volatility, the realized volatility and the returns of six financial assets during the COVID-19 pandemic. The measures indicate increases in the information transmissions during the pandemic which...

Descripción completa

Detalles Bibliográficos
Autores principales: Maghyereh, Aktham, Abdoh, Hussein, Awartani, Basel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9765873/
http://dx.doi.org/10.1016/j.jcomm.2021.100194