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~isPartOf:"Finance Research Letters"
~isPartOf:"Research paper series / Swiss Finance Institute"
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S&P
500
index
, an option-implied risk analysis
Barone-Adesi, Giovanni
;
Legnazzi, Chiara
;
Sala, Carlo
-
2018
classical risk measures for the
S&P
500
Index
. Delivering good results both at short and long time horizons, the proposed option …
Persistent link: https://www.econbiz.de/10011899623
Saved in:
2
S&P
500
index
, an option implied risk analysis
Barone-Adesi, Giovanni
;
Legnazzi, Chiara
;
Sala, Carlo
-
2016
Persistent link: https://www.econbiz.de/10011619773
Saved in:
3
Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo
-
2015
the option-adjusted physical measure to construct an option-adjusted pricing kernel. An empirical investigation on the
S&P
…
500
Index
from 2002 to 2015 shows that the option-adjusted pricing kernel is consistently monotonically decreasing …
Persistent link: https://www.econbiz.de/10011506354
Saved in:
4
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
Saved in:
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