Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options

Author:

Äijö Janne

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference43 articles.

1. Deutschmark-dollar volatility; intra-day activity patterns, macroeconomic announcements, and longer-run dependencies;Andersen;Journal of Finance,1998

2. Economic news and bond prices;Balduzzi;Journal of Financial and Quantitative Analysis,2001

3. A model of investor sentiment;Barberis;Journal of Financial Economics,1998

4. The crash of '87: Was it expected? The evidence from options market;Bates;Journal of Finance,1991

5. Economic news and equity market linkages between the U.S. and U.K;Becker;Journal of Banking and Finance,1995

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