A note on the impact of scheduled macroeconomic news announcements on implied volatility

被引：7
|
作者：
Vahamaa, Sami [1 ]
机构：
[1] Department of Accounting and Finance, Univers of Vaasa, Vaasa, Vaasa, Finland
来源：
APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 18期
关键词：
EX-ANTE VOLATILITY; OPTION;
D O I：
10.1080/13504850701719520
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This note demonstrates that different methodological approaches may lead to somewhat different conclusions about the impact of scheduled macroeconomic news announcements on implied volatility. While there is no doubt that implied volatilities are significantly affected by macroeconomic releases, the analysis presented in this note shows that different approaches provide inconsistent results regarding the direction of the effect and also about the relative importance of different types of macroeconomic announcements.
引用
收藏
页码：1783 / 1789
页数：7
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