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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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Index trading and portfolio risk
Kvamvold, Joakim; Lindset, Snorre - In: Journal of economics and finance 41 (2017) 1, pp. 78-99
Persistent link: https://www.econbiz.de/10011795595
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Asymmetry in option implied volatility and yield : Evidence from China's ETF options market1,2
Chen, Xiaoyijing; Liu, Siyuan; Xu, Zailin; Yu, Mei - In: Pacific-Basin finance journal 85 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014576054
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Three non-Gaussian models of dependence in returns
Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016
Persistent link: https://www.econbiz.de/10011800343
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Liquidity, style investing and excess comovement of exchange-traded fund returns
Broman, Markus S. - In: Journal of financial markets 30 (2016), pp. 27-53
Persistent link: https://www.econbiz.de/10011722252
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
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The performance of dividend ETFs : the study of the spillover and leverage effects
Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510
Persistent link: https://www.econbiz.de/10012395468
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Do traditional real estate ETFs increase the volatility of REITs?
Hardin, William G.; Hurwitz, Catalina; Parhizgari, Ali M. - In: Journal of real estate research : JRER ; a publication … 42 (2020) 4, pp. 439-475
Persistent link: https://www.econbiz.de/10012414424
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The relation between return and volatility in ETFs traded in Borsa Istanbul : is there any difference between islamic and conventional ETFs?
Hassan, M. Kabir; Kayhana, Selim; Bayatb, Tayfur - In: Islamic economic studies 24 (2016) 2, pp. 45-76
Persistent link: https://www.econbiz.de/10011729895