A neural network approach to understanding implied volatility movements-Reference-Cited by-同舟云学术

A neural network approach to understanding implied volatility movements

Published:2020-05-14 Issue:9 Volume:20 Page:1405-1413
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Cao Jay¹,Chen Jacky¹,Hull John¹

Affiliation:

1. Joseph L. Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, ON, Canada M5S3E6

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1750679

Reference25 articles.

1. Asymmetric Volatility and Risk in Equity Markets

2. Black, F. Studies of stock price volatility changes. Proceedings of the Business and Economics Section of the American Statistical Association, pp. 177–181, 1976.

3. Leverage and Volatility Feedback Effects in High-Frequency Data

4. No news is good news

5. Stock Price Dynamics and Firm Size: An Empirical investigation

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