The impact of CBOE options listing on the volatility of NYSE traded stock: a time varying risk approach
No === This paper employs the standard General Auto-regressive Conditional Heteroskedasticity (GARCH(1,1)) process to examine the impact of option listing on volatility the underlying stocks. It takes into consideration the time variation in the individual stock's variance and explicitly tests...
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| Language: | en |
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2009
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| Online Access: | http://hdl.handle.net/10454/3155 |