UNDER-REACTION OF S&P 500 IMPLIED VOLATILITY TO RELEVANT INFORMATION
Year of publication: |
2012
|
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Authors: | KUDRYAVTSEV, Andrey |
Published in: |
Journal of Applied Economic Sciences Quarterly. - ASERS Publishing. - Vol. VII.2012, 4, p. 401-409
|
Publisher: |
ASERS Publishing |
Subject: | anchoring | historical volatility | implied volatility | under-reaction | volatility forecasts | VIX |
Extent: | text/html |
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Type of publication: | Article |
Classification: | D80 - Information and Uncertainty. General ; D84 - Expectations; Speculations ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
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