Implied Volatility Sentiment: A Tale of Two Tails
Year of publication: |
2017
|
---|---|
Authors: | Stork, Philip ; Félix, Luiz ; Kräussl, Roman |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Sentiment | implied volatility skew | equity-risk premium | reversals | predictability |
Series: | Tinbergen Institute Discussion Paper ; 17-002/IV |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 876992610 [GVK] hdl:10419/149516 [Handle] RePEc:tin:wpaper:20170002 [RePEc] |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
-
Implied volatility sentiment: A tale of two tails
Felix, Luiz, (2017)
-
Implied volatility sentiment : a tale of two tails
Stork, Philip, (2017)
-
Implied volatility sentiment : a tale of two tails
Felix, Luiz, (2017)
- More ...
-
The 2011 European Short Sale Ban: An Option Market Perspective
Kräussl, Roman, (2014)
-
The 2011 European short sale ban on financial stocks: A cure or a curse?
Félix, Luiz, (2013)
-
Single Stock Call Options as Lottery Tickets
Félix, Luiz, (2016)
- More ...