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Finance Research Letters
Volumn 4, Issue 4, 2007, Pages 227-232
S&P 500 implied volatility and monetary policy announcements

(2) 

Author keywords

Implied volatility; Mean reversion; Monetary policy; VIX index; Volatility
Indexed keywords

EID: 36348940989     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2007.07.002     Document Type: Article
Times cited : (78)
References (11)
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    • Bollerslev, T.1    Wooldridge, J.M.2
  • 2
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    • Bomfim, A.N.1
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    • 35948964015 scopus 로고    scopus 로고
    • Dotsis, G., Psychoyios, D., Skiadopoulos, G., 2007. An empirical comparison of continuous-time models of implied volatility indices. Journal of Banking and Finance, in press
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    • 0002723966 scopus 로고
    • The impact of news on financial markets in the United Kingdom
    • Goodhart C., and Smith R. The impact of news on financial markets in the United Kingdom. Journal of Money, Credit and Banking 17 (1985) 507-511
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    • Goodhart, C.1    Smith, R.2
  • 8
    • 20344389485 scopus 로고    scopus 로고
    • Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets
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    • Jones, B.1    Lin, C.2    Masih, M.M.3
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    • Joyce, M., Read, V., 1999. Asset price reactions to RPI announcements. Bank of England Working Paper No. 94
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    • Impact of the Federal Open Market Committee's meetings and scheduled macroeconomic news on stock market uncertainty
    • Nikkinen J., and Sahlström P. Impact of the Federal Open Market Committee's meetings and scheduled macroeconomic news on stock market uncertainty. International Review of Financial Analysis 13 (2004) 1-12
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    • Nikkinen, J.1    Sahlström, P.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.