Showing 1 - 10 of 56
Persistent link: https://www.econbiz.de/10001604140
Persistent link: https://www.econbiz.de/10001678562
Persistent link: https://www.econbiz.de/10010356722
Persistent link: https://www.econbiz.de/10010408036
Persistent link: https://www.econbiz.de/10011797596
Persistent link: https://www.econbiz.de/10011804715
Persistent link: https://www.econbiz.de/10009682531
This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...
Persistent link: https://www.econbiz.de/10013222445
Persistent link: https://www.econbiz.de/10013534140
This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic...
Persistent link: https://www.econbiz.de/10012895281