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  • Search: subject:"option implied volatility"
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Year of publication
Subject
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Volatilität 29 Volatility 28 Option implied volatility 15 option implied volatility 12 Estimation 11 Forecasting model 11 Option pricing theory 11 Optionspreistheorie 11 Prognoseverfahren 11 Schätzung 11 option-implied volatility 11 Option trading 10 Optionsgeschäft 10 Börsenkurs 9 Share price 9 Risiko 8 Risk 8 Risk aversion 8 variance risk premium 8 ARCH model 7 ARCH-Modell 7 Monetary policy 7 Option-implied volatility 7 Portfolio selection 7 Portfolio-Management 7 VIX 7 realized volatility 7 Risikoprämie 6 Risk premium 6 Uncertainty 6 risk aversion 6 Aktienmarkt 5 Business cycle 5 Capital income 5 Geldpolitik 5 Kapitaleinkommen 5 Option Implied Volatility 5 Risikoaversion 5 Theorie 5 Theory 5
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Online availability
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Free 33 Undetermined 19 CC license 1
Type of publication
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Book / Working Paper 30 Article 26 Other 1
Type of publication (narrower categories)
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Article in journal 20 Aufsatz in Zeitschrift 20 Working Paper 14 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article 2
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Language
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English 41 Undetermined 16
Author
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Bekaert, Geert 12 Hoerova, Marie 12 Lo Duca, Marco 7 Ryu, Doojin 5 Bollerslev, Tim 4 Lee, Geul 4 Lee, Jaeram 4 Lehnert, Thorsten 4 Tauchen, George 4 Caporale, Guglielmo Maria 3 Kaminska, Iryna 3 Roberts-Sklar, Matt 3 Sizova, Natalia 3 Teterkina, Daria 3 Zhou, Yinggang 3 Bams, Dennis 2 Bekkour, Lamia 2 Blanchard, Gildas 2 Christoffersen, Peter 2 Grobys, Klaus 2 Mohrschladt, Hannes 2 Perico Ortiz, Daniel 2 Schnaubelt, Matthias 2 Schneider, Judith C. 2 Seifert, Oleg 2 Xuhui (Nick) Pan 2 Amadari, Maria Chiara 1 Amadori, Maria Chiara 1 Benavides, Guillermo 1 Borochin, Paul A. 1 Bouri, Elie 1 Cao, Charles 1 Chen, Ding 1 Christoffersen, Peter F. 1 Cicon, James E. 1 Cuevas, Israel Felipe Mora 1 DeLisle, R. Jared 1 DeMiguel, Victor 1 Diaz-Rainey, Ivan 1 Duca, Marco Lo 1
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Institution
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School of Economics and Management, University of Aarhus 4 C.E.P.R. Discussion Papers 2 Duke University, Department of Economics 2 European Central Bank 2 Luxembourg School of Finance, Faculté de droit, d'économie et de finance 2 Banco de México 1 Nationale Bank van België/Banque national de Belqique (BNB) 1
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Published in...
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CREATES Research Papers 4 CEPR Discussion Papers 2 ECB Working Paper 2 Journal of banking & finance 2 Journal of financial markets 2 LSF Research Working Paper Series 2 Review of Derivatives Research 2 Staff working papers / Bank of England 2 Working Paper Series / European Central Bank 2 Working Papers / Duke University, Department of Economics 2 Applied economics letters 1 Asia-Pacific journal of financial studies 1 CESifo Working Paper 1 CESifo working papers 1 Central Bank review / Central Bank of the Republic of Turkey 1 Economics : the open-access, open-assessment e-journal 1 Economics : the open-access, open-assessment journal 1 Economics Discussion Papers 1 Economics and finance working paper series 1 Economics letters 1 Economics: The Open-Access, Open-Assessment E-Journal 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Ensayos Revista de Economia 1 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1 Finance research letters 1 IRTG 1792 Discussion Paper 1 International journal of forecasting 1 International review of financial analysis 1 Journal of Banking & Finance 1 Journal of Econometrics 1 Journal of Monetary Economics 1 Journal of econometrics 1 Journal of empirical finance 1 Journal of monetary economics 1 LSF research working paper series 1 NBB Working Paper 1 Review of derivatives research 1 The North American journal of economics and finance : a journal of theory and practice 1 The journal of asset management : a major new, international quarterly journal for the financial community 1
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Source
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ECONIS (ZBW) 28 RePEc 19 EconStor 9 BASE 1
Showing 11 - 20 of 57
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The difference in the intraday return-volume relationships of spot and futures : a quantile regression approach
Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2019
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...
Persistent link: https://www.econbiz.de/10011986884
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Volatility forecasts for the RTS stock index : option-implied volatility versus alternative methods
Caporale, Guglielmo Maria; Teterkina, Daria - 2019
Persistent link: https://www.econbiz.de/10011996358
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Volatility forecasts for the RTS stock index : optionimplied volatility versus alternative methods
Caporale, Guglielmo Maria; Teterkina, Daria - 2019
alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model …
Persistent link: https://www.econbiz.de/10011997328
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Intraday option price changes and net buying pressure
Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297
Persistent link: https://www.econbiz.de/10012803523
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Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices
Yang, Zihui; Zhou, Yinggang - 2018
With option-implied volatility indices, we provide a new tool for event studies in a network setting and document …
Persistent link: https://www.econbiz.de/10012433152
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Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach
Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018
volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the …
Persistent link: https://www.econbiz.de/10011902719
Saved in:
Cover Image
Difference in the intraday return-volume relationships of spots and futures : a quantile regression approach
Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018
volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the …
Persistent link: https://www.econbiz.de/10011901877
Saved in:
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Trump vs. Paris : the impact of climate policy on US listed oil and gas firm returns and volatility
Diaz-Rainey, Ivan; Gehricke, Sebastian A.; Roberts, Helen; … - In: International review of financial analysis 76 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012805052
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Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
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Volatility in equity markets and monetary policy rate uncertainty
Kaminska, Iryna; Roberts-Sklar, Matt - 2017
Persistent link: https://www.econbiz.de/10011913026
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