Investors' and Central Bank's Uncertainty Embedded in Index Options
收藏NBER2011-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w16764
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Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio of OTM puts' over OTM calls' implied volatilities (P/C) are followed by persistently higher rates. The stock's and Treasury-bond's ATMIV indices, which measure market and
提供机构：
美国国家经济研究局
创建时间：
2011-02-01
