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      • Dept. of Management - Ph.D. / Sc.D.
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      •   BUIR Home
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      • Bilkent Theses
      • Theses - Department of Management
      • Dept. of Management - Ph.D. / Sc.D.
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      Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information

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      Embargo Lift Date: 2016-09-20
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      Author
      Yaşar, Burze
      Advisor
      Salih, Aslıhan
      Date
      2014
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      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. Finally the effect of presidential announcements on stock market volatility will be investigated.
      Keywords
      Implied volatility skew
      VIX
      Volatility
      Private information
      Macroeconomic announcements
      Presidential announcements
      Permalink
      http://hdl.handle.net/11693/18496
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      • Dept. of Management - Ph.D. / Sc.D. 26
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