Long Memory and Fractality in the Universe of Volatility Indices
Unlike previous studies that consider the Chicago Board of Options Exchange (CBOE) implied volatility index (VIX), we examine long memory and fractality in the universe of nine CBOE volatility indices. Using daily data from October 5, 2007, to October 5, 2020, covering calm and crisis periods, we fi...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/6728432 |
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