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Do Aussie markets smile? Implied volatility functions and determinants

Tanha, Hassan and Dempsey, M (2015) Do Aussie markets smile? Implied volatility functions and determinants. Applied Economics, 47 (30). 3143 - 3163. ISSN 0003-6846

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Item Type: Article
Uncontrolled Keywords: volatility smirk; Australia; moneyness; ASX SPI 200; market microstructure variables; stock market performance; stock markets
Subjects: FOR Classification > 1402 Applied Economics
Faculty/School/Research Centre/Department > College of Business
Depositing User: Symplectic Elements
Date Deposited: 10 Aug 2016 03:33
Last Modified: 06 Mar 2018 23:16
URI: http://vuir.vu.edu.au/id/eprint/31232
DOI: https://doi.org/10.1080/00036846.2015.1013606
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Citations in Scopus: 1 - View on Scopus

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