The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...

In this paper I introduce a latent variable augmented version of the conditional autoregressive range (CARR) model. The new model, called stochastic conditional- range (SCR) can be estimated by Kalman filter or by efficient importance sampling depending on the hypotheses on the distributional...

International capital markets tend to be characterized by volatility, which is always a function of world economic and political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon affects both developed markets and emerging markets,...

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate negotiated on the Italian interbank deposits market (e-MID) using high-frequency transaction data. We find that the largest increases in volatility and the most notable variations...

This study examines the impact of inflation and output growth on stock market returns and volatility in selected Asian countries, namely India, Japan, Korea, Malaysia and Philippines. By using monthly data from 1991 to 2004 and by employing GARCH (1, 1) model, it is found that macroeconomic...

The Romanian financial market has passed in the last years through a large “maturating” and consolidation process which has created an unfinished architecture, harmonising step by step with the capital markets from European Union. One possible way to analyse the empirical characteristics of...

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...