The causal relationship between the S&P 500 and the VIX Index : critical analysis of financial market volatility and its predictability
著者
書誌事項
The causal relationship between the S&P 500 and the VIX Index : critical analysis of financial market volatility and its predictability
（BestMasters）
Springer Gabler, c2015
- : pbk
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注記
Includes bibliographical references (p. 85-91)
内容説明・目次
内容説明
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.
目次
Risk and Emotions.- Financial Market Volatility.- Behavioural Finance.- VIX Index.
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