We use Bayesian dynamic factor models to disentangle the global and idiosyncratic country-specific factors of the stock market prices and other macroeconomic variables from a large group of countries. We find that the global factors account for significant portions of an individual country's...

This research note shows that the implied Black-Scholes volatility calculated using the bisection algorithm can have significant biases, which are more severe for in-themoney (ITM) options than for out-of-the-money (OTM) options. The biases are shown to have important implications as they could...