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~isPartOf:"Finance Research Letters"
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S&P 500 index options
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa
;
Salih, Aslihan
;
Yasar, Burze
- In:
Finance Research Letters
11
(
2014
)
4
,
pp. 454-462
volatility skew of
S&P
500
index
options and VIX. We document that macroeconomic announcements affect VIX significantly and slope …
Persistent link: https://www.econbiz.de/10011118178
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