The relationship between implied volatility and cryptocurrency returns
نویسندگان
چکیده
منابع مشابه
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon
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 results indicate that the relation be...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2020
ISSN: 1544-6123
DOI: 10.1016/j.frl.2019.06.010