prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

France and Germany are two polar cases in the European debate about rising youth unemployment. Similar to what can be … been on continuous decline in Germany for many years, hardly affected by the Great Recession. This paper analyzes the …

This study presents a comparative analysis of regulatory thresholds applicable to firms in France and in Germany. A …Die Studie analysiert die arbeitsrechtlichen Schwellenwerte, die für Firmen in Frankreich und Deutschland gelten. Die …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and … the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors … thus supporting the hypothesis that exchange rate volatility affects stock returns through the channel of international …