Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Mustafa Onan; Aslihan Salih; Burze Yasar
| Year of publication: |
2014
|
|---|---|
| Authors: | Onan, Mustafa ; Altay-Salih, Aslihan ; Yasar, Burze |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 11.2014, 4, p. 454-462
|
| Subject: | Volatility skews | Slope | S&P 500 index options | VIX | Macroeconomic announcements | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Optionsgeschäft | Option trading | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011300430