Is there information in the volatility skew?

C-Tier

Journal: Journal of Futures Markets

Year: 2007

Volume: 27

Issue: 10

Pages: 921-959

Authors (3)

James S. Doran (Florida State University) David R. Peterson (not in RePEc) Brian C. Tarrant (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

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