Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

volatility models, the time-varying causality between spot and futures crude oil prices: a regime switching approach, a regime … approach to constructing price-based funding liquidity factors, realized range volatility forecasting: dynamic features and … measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

noise in the performance measure. In contrast, expectancy theory as developed by psychologists predicts lower effort levels …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

in line with the theory of storage. We find the opposite; futures prices from markets with flexible power supply behave … according to the expectations theory. The implicit view from futures prices is that flexibility is not a substitute for …