Lu Zhao

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

Campus Wiesbaden

Gustav-Stresemann-Ring 3

Wiesbaden, 65189

Germany

  • EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

The Impact of Macroeconomic Announcements on Implied Volatility

Applied Financial Economics, Vol. 21, No. 21, 2011
Number of pages: 27 Posted: 03 Nov 2010 Last Revised: 22 Mar 2016
Roland Füss, Ferdinand Mager, Holger Wohlenberg and Lu Zhao
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, Deutsche Börse AG and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 407 (155,103)

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Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements

2.

Financial Crises, Price Discovery, and Information Transmission: A High-Frequency Perspective

EBS Business School Research Paper Series, Working Paper, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 02 Dec 2011 Last Revised: 10 Feb 2017
Roland Füss, Ferdinand Mager, Michael Stein and Lu Zhao
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Duisburg-Essen and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 328 (196,650)

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Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data