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Applied Economics Letters Volume 18, 2011 - Issue 15
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Original Articles

Predicting regime switches in the VIX index with macroeconomic variables

N. Baba Bank of Japan, 2-1-1 Nihonbashi-Hongokucho, Chuo-ku, Tokyo, 103-0021, Japan
&
Y. Sakurai Bank of Japan, 2-1-1 Nihonbashi-Hongokucho, Chuo-ku, Tokyo, 103-0021, JapanCorrespondence[email protected]
Pages 1415-1419 | Published online: 21 Mar 2011

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