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Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Persistent link: https://www.econbiz.de/10003963448

The long-run gains from international equity diversification : Australian evidence from cointegration tests

Allen, David E. - In: Applied financial economics 5 (1995) 1, pp. 33-42

Persistent link: https://www.econbiz.de/10001177192

Dividend policy and stock price volatility : Australian evidence

Allen, David E. - In: Applied financial economics 6 (1996) 2, pp. 175-188

Persistent link: https://www.econbiz.de/10001198667

The pecking order hypothesis : Australian evidence

Allen, David E. - In: Applied financial economics 3 (1993) 2, pp. 101-112

Persistent link: https://www.econbiz.de/10001145258