Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
| buir.advisor | Salih, Aslıhan | |
| dc.contributor.author | Yaşar, Burze | |
| dc.date.accessioned | 2016-01-08T20:19:50Z | |
| dc.date.available | 2016-01-08T20:19:50Z | |
| dc.date.issued | 2014 | |
| dc.description | Cataloged from PDF version of article. | en_US |
| dc.description | Includes bibliographical references leaves 93-105. | en_US |
| dc.description.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. | en_US |
| dc.description.statementofresponsibility | Yaşar, Burze | en_US |
| dc.embargo.release | 2016-09-20 | |
| dc.format.extent | vii, 105 leaves | en_US |
| dc.identifier.itemid | B148515 | |
| dc.identifier.uri | http://hdl.handle.net/11693/18496 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Implied volatility skew | en_US |
| dc.subject | VIX | en_US |
| dc.subject | Volatility | en_US |
| dc.subject | Private information | en_US |
| dc.subject | Macroeconomic announcements | en_US |
| dc.subject | Presidential announcements | en_US |
| dc.subject.lcc | HG6024.A3 Y37 2014 | en_US |
| dc.subject.lcsh | Options (Finance)--Econometric models. | en_US |
| dc.subject.lcsh | Financial futures. | en_US |
| dc.subject.lcsh | Risk management. | en_US |
| dc.subject.lcsh | Economic forecasting--Econometric models. | en_US |
| dc.title | Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Business Administration | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Doctoral | |
| thesis.degree.name | Ph.D. (Doctor of Philosophy) |
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