Narrow search
Showing 1 - 10 of 94,957
Cover Image
Modelling the implied probability of stock market movements
Glatzer, Ernst - 2003
Persistent link: https://www.econbiz.de/10013434536
Cover Image
Modelling the implied probability of stock market movements
Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003
Persistent link: https://www.econbiz.de/10001749468
Cover Image
Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …
Persistent link: https://www.econbiz.de/10012650140
Cover Image
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …
Persistent link: https://www.econbiz.de/10009612026
Cover Image
Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
Cover Image
Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices
Bødskov Andersen, Allan (contributor);  … - 2002 - [Elektronische Ressource]
from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …
Persistent link: https://www.econbiz.de/10001723101
Cover Image
Intra-Daily Volatility Spillovers between the US and German Stock Markets
Golosnoy, Vasyl - 2012
)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …
Persistent link: https://www.econbiz.de/10013106045
Cover Image
Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain
Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32
models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …
Persistent link: https://www.econbiz.de/10012800500
Cover Image
Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012513279