Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information

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2016-09-20

Files

10051075.pdf (1.26 MB)

Date

2014

Authors

Editor(s)

Advisor

Salih, Aslıhan

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Publisher

Bilkent University

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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.

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Book Title

Keywords

Implied volatility skew , VIX , Volatility , Private information , Macroeconomic announcements , Presidential announcements

Citation

Permalink

http://hdl.handle.net/11693/18496

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Collections

Dept. of Management - Ph.D. / Sc.D.