• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Behavioral Macro and Complexity
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Experimenting with Communication – A Hands-on Summer School
      • Inequalities in Health and Healthcare
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Summer School Business Data Science Program
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Summer School
  • Alumni
  • Times

17-002/IV - Implied Volatility Sentiment: A Tale of Two Tails


  • Authors
    Philip Stork, VU Amsterdam, The Netherlands; Luiz Felix, VU Amsterdam, The Netherlands; Roman Kraussl, University of Luxembourg, Luxembourg
  • Publication date
    January 13, 2017
  • Keywords
    Sentiment, implied volatility skew, equity-risk premium, reversals, predictability.
  • JEL
    G12, G14, G17.