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Implied volatility sentiment: a tale of two tails - MaRDI portal

Implied volatility sentiment: a tale of two tails (Q4991061)

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scientific article; zbMATH DE number 7353668
Language Label Description Also known as
English
Implied volatility sentiment: a tale of two tails
scientific article; zbMATH DE number 7353668

    Statements

    title
    Implied volatility sentiment: a tale of two tails (English)
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    author
    Luiz Félix
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    Roman Kraeussl
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    Philip Stork
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    publication date
    2 June 2021
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    zbMATH Keywords
    sentiment
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    implied volatility
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    equity-risk premium
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    reversals
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    predictability
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    machine learning
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    Identifiers

    zbMATH DE Number
    7353668
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    OpenAlex ID
    W2580253239
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