Investigating Dynamic Correlation in the International Implied Volatility Indexes

© 2018, Springer International Publishing AG, part of Springer Nature. This paper investigates dynamic interaction among international volatility indexes, consisting of VIX, VSTOXX, VDAX, VFTSE, VNVIXN, VHSI and VKOSPI. This paper also extends the multivariate normal distribution and multivariate st...

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Bibliographic Details
Main Authors: Panida Fanpaeng, Woraphon Yamaka, Roengchai Tansuchat
Format: Book Series
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043998564&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58548
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Institution: Chiang Mai University