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The pricing of idiosyncratic risk : evidence from the implied volatility distribution
Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009553644
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Political uncertainty and financial market uncertainty in an Australian context
Smales, Lee A. - In: Journal of international financial markets, … 32 (2014), pp. 415-435
Persistent link: https://www.econbiz.de/10011299782
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Pricing Poseidon: extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2021
Persistent link: https://www.econbiz.de/10012807282
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Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector
González-Pérez, María T. - 2021
Persistent link: https://www.econbiz.de/10012793105
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Market-based monetary policy uncertainty
Bauer, Michael; Lakdawala, Aeimit; Mueller, Philippe - 2019
Persistent link: https://www.econbiz.de/10012057473
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
Persistent link: https://www.econbiz.de/10012102573
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...
Persistent link: https://www.econbiz.de/10012181922
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Forward looking up-/down correlations
Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495
Persistent link: https://www.econbiz.de/10012592490
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Examining the relationship between policy uncertainty and market uncertainty across the G7
Smales, Lee A. - In: International review of financial analysis 71 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012436468
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Financial volatility modeling with option-implied information and important macro-factors
Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149
Persistent link: https://www.econbiz.de/10013532426