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Intervention strategies and exchange rate volatility : a noise trading perspective
Hung, Juann-huey - In: Journal of international money and finance 16 (1997) 5, pp. 779-793
Persistent link: https://www.econbiz.de/10001235408
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Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …
Persistent link: https://www.econbiz.de/10011897782
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …
Persistent link: https://www.econbiz.de/10003977656
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Explaining time-varying risk of electricity forwards : trading activity and news announcements
Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011
decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …
Persistent link: https://www.econbiz.de/10008989697
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Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …
Persistent link: https://www.econbiz.de/10003949627
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Betting on Mean Reversion in the VIX? Evidence From the Revealed Preferences of Investors
Nielsen, Ole Linnemann - 2020
We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …
Persistent link: https://www.econbiz.de/10012842630
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The Information Content of the Implied Volatility Term Structure on Future Returns
Wang, Yaw-Huei - 2017
implied volatility index level and term structure, we show the important role of the term structure in determining future …
Persistent link: https://www.econbiz.de/10012972853
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Emission Permits and the Announcement of Realized Emissions : Price Impact, Trading Volume, and Volatilities
Hitzemann, Steffen - 2016
before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …
Persistent link: https://www.econbiz.de/10013007371
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Equity Volatility Term Structures and the Cross-Section of Option Returns
Vasquez, Aurelio - 2016
The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …
Persistent link: https://www.econbiz.de/10013008475