Showing 1 - 10 of 65
Persistent link: https://www.econbiz.de/10002115886
"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility is usually associated with a future appreciation in U.S. dollars. The relation is highly significant for most foreign currencies. For example, idiosyncratic volatility accounts...
Persistent link: https://www.econbiz.de/10002995302
Persistent link: https://www.econbiz.de/10001965291
Persistent link: https://www.econbiz.de/10001983084
Persistent link: https://www.econbiz.de/10001974382
Persistent link: https://www.econbiz.de/10001985899
Persistent link: https://www.econbiz.de/10001973914
"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that...
Persistent link: https://www.econbiz.de/10002917585
Persistent link: https://www.econbiz.de/10001986502
Persistent link: https://www.econbiz.de/10003344908