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Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10013073570
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models …
Persistent link: https://www.econbiz.de/10012767654