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Skewness and asymmetry in futures returns and volumes

Eastman, Alexander M.; Lucey, Brian M. - In: Applied financial economics 18 (2008) 10/12, pp. 777-800

Persistent link: https://www.econbiz.de/10003739442

Nonneutral short-run effects of derivates on gold prices

Kearney, Adrienne A.; Lombra, Raymond E. - In: Applied financial economics 18 (2008) 10/12, pp. 985-994

Persistent link: https://www.econbiz.de/10003739514

Impact of the introduction of derivatives on underlying volatility : evidence from India

Vipul - In: Applied financial economics 16 (2006) 9, pp. 687-697

Persistent link: https://www.econbiz.de/10003334980

Hedging with weather derivatives : a role for options in reducing basis risk

Manfredo, Mark R.; Richards, Timothy J. - In: Applied financial economics 19 (2009) 1/3, pp. 87-97

specific hedging role for options. The results suggest that weather derivative instruments with nonlinear pay-offs, such as …

Persistent link: https://www.econbiz.de/10003825820

The effect of derivatives trading on volatility of the underlying asset : evidence from the Greek stock market

Drimbetas, Evangelos; Sariannidis, Nikolaos; Porfiris, Nicos - In: Applied financial economics 17 (2007) 1/3, pp. 139-148

Persistent link: https://www.econbiz.de/10003427033

International linkages of the Chinese futures markets

Hua, Renhai; Chen, Baizhu - In: Applied financial economics 17 (2007) 16/18, pp. 1275-1287

Persistent link: https://www.econbiz.de/10003605827

An empirical examination of the return distribution characteristics of agency mortgage pass-through securities

Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094

Persistent link: https://www.econbiz.de/10003385567

Pricing efficiency and arbitrage : Hong Kong derivatives markets revisited

Zhang, Zhihua; Lai, Rose Neng - In: Applied financial economics 16 (2006) 16, pp. 1185-1198

Persistent link: https://www.econbiz.de/10003387373

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

Estimating optimal hedge ratio : a multivariate skew-normal distribution approach

Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636

Persistent link: https://www.econbiz.de/10009009324