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

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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
URI https://vuir.vu.edu.au/id/eprint/31858
DOI https://doi.org/10.1016/j.ribaf.2015.02.003
Official URL http://www.sciencedirect.com/science/article/pii/S...
Subjects Historical > FOR Classification > 1502 Banking, Finance and Investment
Historical > Faculty/School/Research Centre/Department > College of Business
Keywords market volatility; implied volatility; volatility forecasting; asymmetry; stock market; option pricing models
Citations in Scopus 3 - View on Scopus
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