Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread—the difference between long- and short-term interest rates—has information on future economic conditions. We examine whether this property is related to monetary policy...

This article analyses volatility smiles in the Nikkei 225 options by taking the Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects on smiles and the asymmetry of option values with respect to option bid--ask spreads into account. Our empirical results show the evidence for...