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The impact of firm specific news on implied volatilities · Study

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ArticleThe impact of firm specific news on implied volatilities

Monique W.M. Donders1996

OA

Articlegreen1996

The impact of firm specific news on implied volatilities

Monique W.M. Donders · Ton Vorst

92 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1992ARCH modeling in finance

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2004Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty 2003Relative importance of scheduled macroeconomic news for stock market investors 2013Volatility spreads and earnings announcement returns 2001Evolution of market uncertainty around earnings announcements 2004Earnings announcements and equity options 2011The impact of macroeconomic announcements on implied volatility

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Year1996

Typearticle

Published1996-11-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations92

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0378-4266(96)00011-8

openalex_workW2006497187

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