S&P 500 implied volatility and monetary policy announcements
Year of publication: |
2007
|
---|---|
Authors: | Chen, En-Te John ; Clements, Adam |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 4.2007, 4, p. 227-232
|
Subject: | Volatilität | Volatility | Index-Futures | Index futures | Geldpolitik | Monetary policy | Ankündigungseffekt | Announcement effect | USA | United States |
-
Nikkinen, Jussi, (2004)
-
Antoniou, Antonios, (1998)
-
Intraday volatility responses to monetary policy events
Lunde, Asger, (2009)
- More ...
-
A multivariate Kernel approach to forecasting the variance covariance of stock market returns
Becker, Ralf, (2018)
-
Combining multivariate volatility forecasts using weighted losses
Clements, Adam, (2020)
-
The jump component of S&P 500 volatility and the VIX index
Becker, Ralf, (2009)
- More ...