Discussion Paper
Understanding Global Volatility
Abstract: In this note, we identify a global component of equity option-implied volatilities and address two questions: What are its fundamental drivers? And, given these drivers, are recent levels of volatility unexpectedly low?
https://doi.org/10.17016/2573-2129.40
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Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: IFDP Notes
Publication Date: 2018-01-19
Number: 2018-01-19