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      Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

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      Author
      Onan, M.
      Salih, A.
      Yasar, B.
      Date
      2014-12
      Source Title
      Finance Research Letters
      Print ISSN
      1544-6123
      Publisher
      Elsevier
      Volume
      11
      Issue
      4
      Pages
      454 - 462
      Language
      English
      Type
      Article
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      Abstract
      This paper examines the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX. We document that macroeconomic announcements affect VIX significantly and slope at a lesser extent. We also find evidence that good and bad announcements significantly and asymmetrically change implied volatility slope and VIX. 2014 Elsevier Inc. All rights reserved.
      Keywords
      Volatility skews
      Slope
      S&p 500 Index options
      Vix
      Macroeconomic announcements
      Permalink
      http://hdl.handle.net/11693/12479
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.frl.2014.07.006
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