Information content of aggregate implied volatility spread
Bing Han, Gang Li
| Year of publication: |
2021
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|---|---|
| Authors: | Han, Bing ; Li, Gang |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 2, p. 1249-1269
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| Subject: | informed trading in options | commonality | implied volatility spread | stock return predictability | macroeconomic forecasts | Volatilität | Volatility | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Informationswert | Information value |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2019.3520 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012505469