The asymmetric response of volatility to market changes and the volatility smile : evidence from Australian options
Year of publication: |
2015
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Authors: | Tanha, Hassan ; Dempsey, Michael |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 34.2015, p. 164-176
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Subject: | Behavioural finance | Asymmetric volatility | Implied volatility | Informational efficiency | Volatilität | Volatility | Australien | Australia | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
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