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Pricing European basket warrants with default risk under stochastic volatility models

Wang, Xingchun - In: Applied economics letters 29 (2022) 3, pp. 253-260

Persistent link: https://www.econbiz.de/10012803500

Catastrophe equity put options with target variance

Wang, Xingchun - In: Insurance / Mathematics & economics 71 (2016), pp. 79-86

Persistent link: https://www.econbiz.de/10011630610

Pricing options on the maximum of two average prices under stochastic volatility models

Wang, Xingchun - In: Applied economics letters 29 (2022) 10, pp. 887-894

Persistent link: https://www.econbiz.de/10013411818

Exchange options and spread options with stochastically correlated underlyings

Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068

Persistent link: https://www.econbiz.de/10013412038

An empirical analysis of changes of the impact of federal budget deficits on stock market returns : evidence from the US economy

Grobys, Klaus - In: Applied economics letters 20 (2013) 7/9, pp. 921-924

Persistent link: https://www.econbiz.de/10009763253

COVID-19 pandemic news and stock market reaction during the onset of the crisis : evidence from high-frequency data

Ambros, Maximilian; Frenkel, Michael; Toan Luu Duc Huynh; … - In: Applied economics letters 28 (2021) 19, pp. 1686-1689

Persistent link: https://www.econbiz.de/10012652574

The less likely the better : an empirical analysis of trading strategies accounting for the presence of stock market regimes

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 4, pp. 125-136

This contribution studies the out-of-sample performance of trading strategies applying 2-State-Markov-Switching models. Thereby, different probability thresholds are considered where the investor decides when to go in, respectively, out of the stock market. Furthermore, the investor may decide...

Persistent link: https://www.econbiz.de/10009540029

Is the asset growth anomaly driven by macroeconomic states?

Grobys, Klaus - In: Applied economics letters 23 (2016) 7/9, pp. 576-579

Persistent link: https://www.econbiz.de/10011627986

Does investor sentiment dynamically impact stock returns from different investor horizons? : evidence from the US stock market using a multi-scale method

Jiang, Yonghong; Mo, Bin; Nie, He - In: Applied economics letters 25 (2018) 7, pp. 472-476

Persistent link: https://www.econbiz.de/10011854926

Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?

Nie, He; Jiang, Yonghong; Yang, Baoqing - In: Applied economics letters 25 (2018) 11, pp. 747-751

Persistent link: https://www.econbiz.de/10012129834