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Volatility Spread and the Stock Market Response to Earnings Announcements

Lei, Qin - 2017

Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month...

Persistent link: https://www.econbiz.de/10012972259

Attention : implied volatility spreads and stock returns

Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10012312341

Volatility spread and stock market response to earnings announcements

Lei, Qin; Wang, Xuewu; Yan, Zhipeng - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521179

Hedge ratio on Markov regime-switching diagonal Bekk-Garch model

Zhipeng, Yan; Shenghong, Li - In: Finance research letters 24 (2018), pp. 49-55

Persistent link: https://www.econbiz.de/10011982461

Willow tree algorithms for pricing VIX derivatives under stochastic volatility models

Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012602678

Implied volatility surface construction for commodity futures options traded in China

Xu, Wei; Šević, Aleksandar; Šević, Željko - In: Research in international business and finance 61 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10014246888

Joint calibration of S&P 500 and VIX options under local stochastic volatility models

Zhou, Zhiqiang; Xu, Wei; Rubtsov, Alexey - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 273-310

Persistent link: https://www.econbiz.de/10014469009

Uncertain energy model for electricity and gas futures with application in spark-spread option price

Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148

Persistent link: https://www.econbiz.de/10014227971

Network-based prediction of financial cross-sector risk spillover in China : a deep learning approach

Tang, Pan; Xu, Wei; Wang, Haosen - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014534833

Time-varying variance scaling : application of the fractionally integrated ARMA model

Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012117796