Yaşar, Burze2016-01-082016-01-082014http://hdl.handle.net/11693/18496Ankara : The Department of Management İhsan Doğramacı Bilkent University, 2014.Thesis (Ph. D.) -- Bilkent University, 2014.Includes bibliographical references leaves 93-105.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.vii, 105 leavesEnglishinfo:eu-repo/semantics/openAccessImplied volatility skewVIXVolatilityPrivate informationMacroeconomic announcementsPresidential announcementsHG6024.A3 Y37 2014Options (Finance)--Econometric models.Financial futures.Risk management.Economic forecasting--Econometric models.ThesisB148515