Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon

Abstract

We study the dynamic relation between daily stock returns and innovations in option-derived implied volatilities. By simultaneously analyzing innovations in index-level and firm-level implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our… (More)

Topics

9 Figures and Tables

Cite this paper

@inproceedings{Dennis2005StockRI, title={Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon}, author={Patrick J. Dennis and Stewart Mayhew and Chris T. Stivers}, year={2005} }