The Behavior of Investor's-fear-gauge-index on Scheduled Macroeconomic Communications
Author:
Publisher
Elsevier BV
Subject
General Medicine
Reference27 articles.
1. Äijö, J. (2008). Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options. International Review of Financial Analysis, 17(2), 242-258.
2. Balduzzi, P., Elton, E.J., & Green, T.C. (2001). Economic News and Bond Prices: Evidence from the U.S. Treasury Market. The Journal of Financial and Quantitative Analysis, 36(4), 523-543.
3. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654.
4. Bomfim, A.N. (2003). Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market. Journal of Banking & Finance, 27(1), 133-151.
5. Chen, E.-T. J., & Clements, A. (2007). S&P 500 implied volatility and monetary policy announcements. Finance Research Letters, 4(4), 227-232.
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