Holger Wohlenberg

Deutsche Börse AG

Mergenthalerallee 61-71

Eschborn, 65760

Germany

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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
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Abstract:

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