The impact of firm specific news on implied volatilities

B-Tier

Journal: Journal of Banking & Finance

Year: 1996

Volume: 20

Issue: 9

Pages: 1447-1461

Authors (2)

Donders, Monique W. M. (not in RePEc) Vorst, Ton C. F. (Vrije Universiteit Amsterdam)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count