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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

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

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

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

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

Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility

Azhar Mohamad; Inani, Sarveshwar Kumar - In: Applied economics letters 30 (2023) 19, pp. 2749-2757

Persistent link: https://www.econbiz.de/10014368575

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

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