Do Aussie markets smile? Implied volatility functions and determinants

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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
URI https://vuir.vu.edu.au/id/eprint/31232
DOI 10.1080/00036846.2015.1013606
Official URL http://www.tandfonline.com/doi/full/10.1080/000368...
Subjects Historical > FOR Classification > 1402 Applied Economics
Historical > Faculty/School/Research Centre/Department > College of Business
Keywords volatility smirk; Australia; moneyness; ASX SPI 200; market microstructure variables; stock market performance; stock markets
Citations in Scopus 5 - View on Scopus
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