Using interpolated implied volatility for analysing exogenous market changes.
Matús MaciakSebastiano VitaliPublished in: Comput. Manag. Sci. (2024)
Keyphrases
- stock price
- chinese stock market
- stock market
- financial crisis
- financial markets
- stock returns
- stock exchange
- foreign exchange
- exchange rate
- financial data
- cross sectional
- autoregressive
- garch model
- historical data
- stock data
- non stationary
- stock index futures
- electronic markets
- market data
- decision making
- investment strategies
- financial time series
- news articles
- short term
- low resolution
- market share
- interpolation method
- search engine
- game theory