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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets
Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...
Persistent link: https://www.econbiz.de/10012219567
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The long and large decline in state employment growth volatility
Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - 2007
Persistent link: https://www.econbiz.de/10003451143
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Regional origins of employment volatility : evidence from German states
Buch, Claudia M.; Schlotter, Martin - In: Empirica : journal of european economics 40 (2013) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009712568
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The long and large decline in state employment growth volatility
Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - In: Journal of money, credit and banking : JMCB 45 (2013) 2/3, pp. 521-534
Persistent link: https://www.econbiz.de/10009759293
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The long and large decline in state employment growth volatility
Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - 2011
Persistent link: https://www.econbiz.de/10010196692
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Regional employment volatility in Turkey : causes and consequences
Duran, Hasan Engin - 2015
Regional employment volatility is an undesirable phenomenon which describes a strongly fluctuating pattern of … employment, thus, "instability" of a local economy. In the literature on this field, much of the attention has been paid to two … is actually two fold. First, we analyze the cross-regional determinants of employment volatility in Turkey and decompose …
Persistent link: https://www.econbiz.de/10010498393
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The long and large decline in state employment growth volatility
Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - 2009
Persistent link: https://www.econbiz.de/10003827656
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On the stability of employment growth : a postwar view from the US states
Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - 2004
Persistent link: https://www.econbiz.de/10002366435
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The Long and Large Decline in State Employment Growth Volatility
Carlino, Gerald A. - 2011
This study documents a general decline in the volatility of employment growth during the period 1956 to 2002 and … volatility during the period. The roles of monetary policy, oil prices, industrial employment shifts and a coincident index of … fluctuations in employment growth volatility. Individually, each of the four factors is found to have significantly contributed to …
Persistent link: https://www.econbiz.de/10013127370