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Identifying the Effects of Nominal and Real Shocks on the S&P 500 Stock Price Index

✍ Scribed by Dimitrios Malliaropulos


Book ID
108550143
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
239 KB
Volume
67
Category
Article
ISSN
1463-6786

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Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens