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The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options

Tanha, Hassan and Dempsey, M (2015) The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options. Research in International Business and Finance, 34. 164 - 176. ISSN 0275-5319

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Item Type: Article
Uncontrolled Keywords: market volatility; implied volatility; volatility forecasting; asymmetry; stock market; option pricing models
Subjects: FOR Classification > 1502 Banking, Finance and Investment
Faculty/School/Research Centre/Department > College of Business
Depositing User: Symplectic Elements
Date Deposited: 24 Oct 2016 01:12
Last Modified: 21 Feb 2018 04:04
URI: http://vuir.vu.edu.au/id/eprint/31858
DOI: https://doi.org/10.1016/j.ribaf.2015.02.003
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Citations in Scopus: 3 - View on Scopus

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