Implied Volatility and Return Relationship
The research applies the VIX method to individual equity options data, discovering a negative correlation between equity return and volatility, indicating behavioral biases over leverage and volatility-feedback effects.
Featured in No. 34 on 23 Jan 2024 · on release day
- Released
- 23 Jan 2024
- First featured
- No. 34 · 23 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 29
- Identifier
- RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:39-:d:1321582
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).