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The Implied Volatility of Australian Index Options · Study

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PreprintThe Implied Volatility of Australian Index Options

Sean Dowling2008

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Preprintgreen2008

The Implied Volatility of Australian Index Options

Sean Dowling · Jayaram Muthuswamy

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1987Expected stock returns and volatility 1989Why Does Stock Market Volatility Change Over Time?1977Estimating betas from nonsynchronous data 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1986Stock return variances 1990Transmission of Volatility between Stock Markets 2000Asymmetric Volatility and Risk in Equity Markets 1989Why Does Stock Market Volatility Change Over Time?

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2012A first look at the properties of India's volatility index 2018KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ 2011Modelling Australian stock market volatility 2014The forecasting performance of implied volatility index: evidence from India VIX

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2015Does VIX or volume improve GARCH volatility forecasts?article · 14 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 14 shared references 2009The information content of implied volatility: Evidence from Australiaarticle · 11 shared references 2006A conditional extreme value volatility estimator based on high-frequency returnsarticle · 11 shared references 2003Stock return dynamics, option volume, and the information content of implied volatilityarticle · 11 shared references 2003Implied volatility dynamics in the foreign exchange marketsarticle · 11 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.500165

openalex_workW467698357

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