Onan, Mustafa; Salih, Aslihan; Yasar, Burze - In: Finance Research Letters 11 (2014) 4, pp. 454-462
This paper examines the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX. We document that macroeconomic announcements affect VIX significantly and slope at a lesser extent. We also find evidence that...
