The impact of macroeconomic announcements on implied volatility
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- repec:eco:journ1:2017-05-14 is not listed on IDEAS
- Imlak Shaikh & Puja Padhi, 2013. "RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(4), pages 445-460, March.
- Onan, Mustafa & Salih, Aslihan & Yasar, Burze, 2014. "Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX," Finance Research Letters, Elsevier, vol. 11(4), pages 454-462.
More about this item
Keywordsimplied volatility; VIX and VDAX indices; bivariate VECH GARCH model; macroeconomic announcements;
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