volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial … between the VIX spot and the implied volatility of standard & Poor’s 500 options, suggesting a volatility feedback effect. The …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

reversal of a non-fundamental demand shock to the stock price. We find that the implied volatility skew of stocks added to the … announcement return and fades after the announcement return reverses. Moreover, the implied volatility skew predicts next month …