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Do dividend initiations signal a reduction in risk? : evidence from the option market

Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158

Persistent link: https://www.econbiz.de/10010345141

Does the information content of payout initiations and omissions influence firm risks?

Eije, Johan H. von; Goyal, Abhinav; Muckley, Cal - In: Journal of econometrics 183 (2014) 2, pp. 222-229

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Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector

González Pérez, María Teresa

industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium. This methodology … correlation risk premium to monitor uncertainty and returns in the banking sector and foresee periods of stress in this industry …, volatility, and risk. …

Persistent link: https://www.econbiz.de/10012616875

Financial volatility modeling with option-implied information and important macro-factors

Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149

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Investment disputes and their explicit role in option market uncertainty and overall risk instability

Drábek, Zdeněk; Kopa, Miloš; Maciak, Matúš; … - In: Computational management science 20 (2023) 1, pp. 1-25

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The impact of market uncertainty on the systematic risk of clean energy stocks

Sadorsky, Perry A. - In: Applications in Energy Finance : The Energy Sector, …, (pp. 171-193). 2022

Persistent link: https://www.econbiz.de/10013283201

US presidential elections and implied volatility : the role of political uncertainty

Goodwell, John W.; Vähämaa, Sami - In: Journal of banking & finance 37 (2013) 3, pp. 1108-1117

Persistent link: https://www.econbiz.de/10009708701

The pricing of idiosyncratic risk : evidence from the implied volatility distribution

Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267

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Effect of volatility clustering on indifference pricing of options by convex risk measures

Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82

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Option data, missing tails, and the intraday variation of implied moments

Ivanovas, Anselm - 2015

The risk-neutral distribution of returns, implied by S&P 500 option prices, has been a popular topic of research for … many years. Because of its forward-looking nature, it gives valuable insights into the expectation and risk attitude of …

Persistent link: https://www.econbiz.de/10010510195