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Volatility discovery : can the CDS market beat the equity options market?
Forte, Santiago; Lovreta, Lidija - In: Finance research letters 28 (2019), pp. 107-111
Persistent link: https://www.econbiz.de/10012388022
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462
Persistent link: https://www.econbiz.de/10011300430
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U.S. stock market crash risk, 1926–2010
Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
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Is there price discovery in equity options?
Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul - In: Journal of financial economics 107 (2013) 2, pp. 259-283
Persistent link: https://www.econbiz.de/10009719741
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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Why do option returns change sign from day to night?
Muravyev, Dmitriy; Ni, Xuechuan Charles - In: Journal of financial economics 136 (2020) 1, pp. 219-238
Persistent link: https://www.econbiz.de/10012545424
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Finance research letters 28 (2019), pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
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Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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Traders' heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets
Nappo, Giovanna; Marchetti, Fabio Massimo; Vagnani, Gianluca - In: Finance research letters 53 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472484