𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Assessing the performance of symmetric and asymmetric implied volatility functions

✍ Scribed by Panayiotis C. Andreou, Chris Charalambous…

Book ID
120765081
Publisher
Springer US
Year
2013
Tongue
English
Weight
382 KB
Volume
42
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Asymmetric pricing of implied systematic
Asymmetric pricing of implied systematic volatility in the cross-section of expected returns
✍ R. Jared Delisle; James S. Doran; David R. Peterson 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 132 KB 👁 2 views

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers, C. (200