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Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
(Bilkent University, 2014)This thesis analyzes the possible determinants of the observed implied volatility skew of S&P 500 index options. The thesis will also examine the high frequency changes in VIX in response to macroeconomic announcements. ... -
Formal GARCH performance in a computable dynamic general equilibrium framework
(Bilkent University, 1998)This study uses a Computable Dynamic General Equilibrium setting based on Brock’s (1979, 1982) intertemporal growth and asset pricing models and applies this framework as a formal test to study the out-of-sample forecast ...
