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Sovereign rating actions and the implied volatility of stock index options

โœ Scribed by Tran, Vu; Alsakka, Rasha; ap Gwilym, Owain


Book ID
124135447
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
560 KB
Volume
34
Category
Article
ISSN
1057-5219

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## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex