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HAAS-Implementing Intraday Model-Free Implied Volatility For Individual Equities by roger.chemoul865 is a document available to read on EtoBox.
The document discusses the implementation of a model-free implied volatility (MFIV) methodology for individual equities using intraday data, aiming to analyze the return-volatility relationship. The study finds a negative contemporaneous link between stock returns and volatility, particularly pronounced in the tails of the distributions, suggesting behavioral biases rather than traditional leverage effects. The research fills a gap in existing literature by applying MFIV to a large sample of individual equi
- Author
- roger.chemoul865
- Language
- EN