Hibbert, Ann Marie; Daigler, Robert T.; Dupoyet, Brice - In: Journal of Banking & Finance 32 (2008) 10, pp. 2254-2266
We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return and changes in implied volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis adequately explains the results. Alternatively, we propose that...