Understanding Global Volatility

Juan M. Londono and Beth Anne Wilson
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Beth Anne Wilson: https://www.federalreserve.gov/econres/beth-anne-wilson.htm

No 2018-01-19, IFDP Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we identify a global component of equity option-implied volatilities and address two questions: What are its fundamental drivers? And, given these drivers, are recent levels of volatility unexpectedly low?

Date: 2018-01-19
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgin:2018-01-19

DOI: 10.17016/2573-2129.40

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