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Modelling the MIB30 implied volatility surface : does efficiency matter?

Cassese, Gianluca (contributor); … - 2005

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

Persistent link: https://www.econbiz.de/10002917585

Federal Reserve Bank of St. Louis review

Federal Reserve Bank of St. Louis - St. Louis, Mo. : Research Div. of the Fed. Reserve Bank … - Nachgewiesen 49.1967 -

Persistent link: https://www.econbiz.de/10001378895

Common stochastic trends, common cycles, and asymmetry in economic fluctuations

Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001965274

Another look at sticky prices and output persistence

Wang, Peng-fei (contributor); Wen, Yi (contributor) - 2005

"Price rigidity is the key mechanism for propagating business cycles in traditional Keynesian theory. Yet the New Keynesian literature has failed to show that sticky prices by themselves can effectively propagate business cycles in general equilibrium. We show that price rigidity in fact can (by...