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

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buir.advisorSalih, Aslıhan
dc.contributor.authorYaşar, Burze
dc.date.accessioned2016-01-08T20:19:50Z
dc.date.available2016-01-08T20:19:50Z
dc.date.issued2014
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management İhsan Doğramacı Bilkent University, 2014.en_US
dc.descriptionThesis (Ph. D.) -- Bilkent University, 2014.en_US
dc.descriptionIncludes bibliographical references leaves 93-105.en_US
dc.description.abstractThis 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.degreePh.D.en_US
dc.description.statementofresponsibilityYaşar, Burzeen_US
dc.embargo.release2016-09-20
dc.format.extentvii, 105 leavesen_US
dc.identifier.itemidB148515
dc.identifier.urihttp://hdl.handle.net/11693/18496
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectImplied volatility skewen_US
dc.subjectVIXen_US
dc.subjectVolatilityen_US
dc.subjectPrivate informationen_US
dc.subjectMacroeconomic announcementsen_US
dc.subjectPresidential announcementsen_US
dc.subject.lccHG6024.A3 Y37 2014en_US
dc.subject.lcshOptions (Finance)--Econometric models.en_US
dc.subject.lcshFinancial futures.en_US
dc.subject.lcshRisk management.en_US
dc.subject.lcshEconomic forecasting--Econometric models.en_US
dc.titleDeterminants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private informationen_US
dc.typeThesisen_US

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