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 | 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 | 4 - View on Scopus |
| Download/View statistics | View download statistics for this item |
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