Blar i BI Open på forfatter "Melsbø-Nilsen, Emil"
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OBX-VIX: The predictability of OBX returns and asymmetric relationship between implied volatility and returns
Melsbø-Nilsen, Emil; Læknes, Bjørn Magne (Master thesis, 2022)In this paper, we have constructed an implied volatility index for the Norwegian equity market (OBX-VIX). We have tested its properties and have used it to look at the asymmetric relationship between implied volatility and ...