Concepedia

Cross-sectional Implied Volatility

Cross-Sectional Implied Volatility is a financial metric that quantifies the dispersion of implied volatility levels across different options or underlying assets at a given point in time, distinguishing it from time-series measures by focusing on variation across market instruments rather than over time.

30

Publications

1.9K

Citations

49

Authors

47

Institutions

Publications per year

2017–2026

5

Parents

Publications

30

Volatility Spreads and Expected Stock Returns

Turan G. Bali, Armen Hovakimian · Management Science · 2009 · 414 citations

, , +17

The Joint Cross Section of Stocks and Options

Byeong-Je An, Andrew Ang, Turan G. Bali et al. · The Journal of Finance · 2014 · 311 citations

, , +17

Time-series and cross-sectional excess comovement in stock indexes

Jarl G. Kallberg, Paolo Pasquariello · Journal of Empirical Finance · 2007 · 123 citations

, , +14

Cross section of option returns and idiosyncratic stock volatility

Jie Cao, Bing Han · Journal of Financial Economics · 2012 · 110 citations · Full text

, , +16

Equity Volatility Term Structures and the Cross Section of Option Returns

Aurelio Vasquez · Journal of Financial and Quantitative Analysis · 2017 · 103 citations

, , +15

1–5 of 30

Authors

49

  1. TG
    Turan G. Bali

    Georgetown University, United States

    5 publications · 864 citations

    5

    h-index

  2. AA
    Andrew Ang

    BlackRock (United States), United States

    3 publications · 388 citations

    3

    h-index

  3. NC
    Nusret Cakici

    Fordham University, United States

    3 publications · 388 citations

    3

    h-index

  4. PD
    Pasquale Della Corte

    Centre for Economic Policy Research, United Kingdom

    2 publications · 32 citations

    2

    h-index

  5. AN
    Anthony Neuberger

    London Business School, United Kingdom

    2 publications · 32 citations

    2

    h-index

1–5 of 49

Institutions

47

  1. Georgetown University

    Washington, United States

    4 h-index

    8 publications

    1.4K citations

  2. City, University of London

    London, United Kingdom

    3 h-index

    4 publications

    62 citations

  3. University of Vaasa

    Vaasa, Finland

    3 h-index

    6 publications

    352 citations

  4. Fordham University

    New York, United States

    3 h-index

    6 publications

    1.3K citations

  5. BlackRock (United States)

    New York, United States

    2 h-index

    2 publications

    77 citations

  6. Columbia University

    New York, United States

    2 h-index

    2 publications

    77 citations

  7. Auckland University of Technology

    Auckland, New Zealand

    2 h-index

    2 publications

    34 citations

  8. Baruch College

    New York, United States

    2 h-index

    3 publications

    890 citations

1–8 of 47

Venues

  1. SSRN Electronic Journal

    Repository · 8 publications · 245 citations

    9

    h-index

  2. Journal of Financial Economics

    4 publications · 196 citations

    4

    h-index

  3. Global Finance Journal

    GFJ · 2 publications · 104 citations

    2

    h-index

  4. 2

    h-index

  5. AFRICAN JOURNAL OF BUSINESS MANAGEMENT

    AJBM · 1 publications · 24 citations

    1

    h-index

1–5