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Evaluating forecasts of correlation using option pricing
Gibson, Michael S.; Boyer, Brian H. - Federal Reserve Board (Board of Governors of the … - 1997
forecasting ability of three more sophisticated models (two GARCH models and a two-state Markov switching model) and two simple …
Persistent link: https://www.econbiz.de/10005372547
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Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options
Dueker, Michael; Thomas W. Miller, Jr. - Federal Reserve Bank of St. Louis - 1996
The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor?s 500 Index from April 2, 1986 through June 20, 1986. We match near-the-money American option quotes with the most nearly contemporaneous, otherwise identical, European...
Persistent link: https://www.econbiz.de/10005360571
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Directly measuring early exercise premiums using American and European S&P 500 index options
Dueker, Michael; Thomas W. Miller, Jr. - Federal Reserve Bank of St. Louis - 2002
The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options....
Persistent link: https://www.econbiz.de/10005707675
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On the effect of oil price in the context of Covid-19
Jawadi, Fredj; Sellami, Mohamed - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 3924-3933
Persistent link: https://www.econbiz.de/10013461287
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Drivers of S&P 500's profitability : implications for investment strategy and risk management
Nagy, Marek; Valaskova, Katarina; Kovalova, Erika; … - In: Economies : open access journal 12 (2024) 4, pp. 1-24
The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the...
Persistent link: https://www.econbiz.de/10014635954
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Box-Jenkins modeling of Greek stock prices data
Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747
Persistent link: https://www.econbiz.de/10011454204
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Stock return predictability and market integration : the role of global and local information
McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing …
Persistent link: https://www.econbiz.de/10011487829
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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock … the artificial neural network based models outperformed the ARIMA based model in forecasting future developments of the … can be used as predictors for forecasting future values of the stock market returns given that the returns has memory of …
Persistent link: https://www.econbiz.de/10011488820
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
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Economic gains of realized volatility in the Brazilian stock market
Santos, Francisco; Garcia, Márcio Gomes Pinto; … - 2014
This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian stocks. Comparing with traditional volatility...
Persistent link: https://www.econbiz.de/10010402112