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The impact of macroeconomic announcements on implied volatility

Füss, Roland; Mager, Ferdinand; Wohlenberg, Holger; … - In: Applied financial economics 21 (2011) 19/21, pp. 1571-1580

Persistent link: https://www.econbiz.de/10009356705

Financial crises, price discovery, and information transmission : a high-frequency perspective

Füss, Roland; Mager, Ferdinand; Stein, Michael; Zhao, Lu - In: Financial markets and portfolio management 32 (2018) 4, pp. 333-365

Persistent link: https://www.econbiz.de/10011951995

Does behavioral-motivated volatility effect explain the beta anomaly? : evidence from China

Zhao, Lu; Lin, Lei - In: Finance research letters 46 (2022) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10013341295

The Impact of Macroeconomic Announcements on Implied Volatility

Füss, Roland - 2016

While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and U.S. macroeconomic events and the implied volatility indices VDAX and VIX. We...

Persistent link: https://www.econbiz.de/10013008773