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The information content in a volatility index for Spain

Maria T. Gonzalez-Perez () and Alfonso Novales ()

SERIEs: Journal of the Spanish Economic Association, 2011, vol. 2, issue 2, 185-216

Keywords: Model-based volatility index; Model-free volatility index; Risk; Leverage effect; Forecasting volatility; C53; G13; G15 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s13209-010-0031-6

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SERIEs: Journal of the Spanish Economic Association is currently edited by Nezih Guner

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