Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility
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References listed on IDEAS
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More about this item
Keywordsvolatility smile; implied volatility; leverage effect; index options; highfrequency data;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-03 (All new papers)
- NEP-CFN-2012-09-03 (Corporate Finance)
- NEP-MST-2012-09-03 (Market Microstructure)
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