Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data
Sol Kim and Geul Lee
| Year of publication: |
2011
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|---|---|
| Authors: | Kim, Sol ; Lee, Geul |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 40.2011, 3, p. 403-432
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| Subject: | Macroeconomic news | KOSPI200 index options | Risk-neutral distribution | Skewness | Kurtosis | Ankündigungseffekt | Announcement effect | Wirkungsanalyse | Impact assessment | Index-Futures | Index futures | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009388576