Publication
A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks
| dc.contributor.author | Zhenkun Wang | |
| dc.contributor.author | Elie Bouri | |
| dc.contributor.author | Ferreira, Paulo Jorge Silveira | |
| dc.contributor.author | Syed Jawad Hussain Shahzad | |
| dc.contributor.author | Román Ferrer | |
| dc.date.accessioned | 2025-01-14T16:00:38Z | |
| dc.date.available | 2025-01-14T16:00:38Z | |
| dc.date.issued | 2022-08 | |
| dc.date.updated | 2023-02-20T12:13:17Z | |
| dc.description.abstract | We provide first evidence of the multiscale comovement of correlations between the S&P 500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey correlation and wavelet analysis on daily data (July 2011 - September 2021), the dynamics of grey-based cor relations vary across scales and depend on the fluctuation intensity of the medium time –frequency domains. The lead–lag relationships of VIX correlations are inconclusive about the dominant periodicity, although some evidence of weekly and monthly periodicity emerges. The pandemic affects the dynamics and lead-lag relationships. Such indications are useful for trading strategies and market-timing decisions. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.doi | 10.1016/j.frl.2022.102872 | pt_PT |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.slug | cv-prod-3024649 | |
| dc.identifier.uri | http://hdl.handle.net/10400.26/53824 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ELSEVIER | pt_PT |
| dc.subject | Grey correlation | pt_PT |
| dc.subject | wavelet analysis | pt_PT |
| dc.subject | CBOE implied volatility (VIX) | pt_PT |
| dc.subject | US stock market | pt_PT |
| dc.subject | COVID-19 | pt_PT |
| dc.title | A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 102872 | pt_PT |
| oaire.citation.startPage | 102872 | pt_PT |
| oaire.citation.title | Finance Research Letters | pt_PT |
| oaire.citation.volume | 48 | pt_PT |
| rcaap.cv.cienciaid | B513-B46A-E5F3 | Paulo Jorge Silveira Ferreira | |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |
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