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Financial instability and the short-term dynamics of volatility expectations
Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke - In: Applied financial economics 24 (2014) 4/6, pp. 377-395
Persistent link: https://www.econbiz.de/10010399697
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Calibrated GARCH models and exotic options
Kanniainen, Juho; Halme, Tero - In: Applied financial economics 23 (2013) 4/6, pp. 403-414
Persistent link: https://www.econbiz.de/10009718911
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Pricing Taiwan option market with GARCH and stochastic volatility
Huang, Hung-hsi; Wang, Ching-ping; Chen, Shiau-hung - In: Applied financial economics 21 (2011) 10/12, pp. 747-754
Persistent link: https://www.econbiz.de/10009231596
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An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility
Su, Yong-chern; Chen, Ming-da; Huang, Han-Ching - In: Applied financial economics 20 (2010) 10/12, pp. 899-910
Persistent link: https://www.econbiz.de/10009009807
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Volatility transmission across markets : a multichain Markov switching model
Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7/9, pp. 659-670
Persistent link: https://www.econbiz.de/10003491212
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Volume and volatility in foreign exchange market microstrucutre : a Markov switching approach
Khemiri, Rim - In: Applied financial economics 22 (2012) 13/15, pp. 1121-1133
Persistent link: https://www.econbiz.de/10009625405
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The linkage between aggregate stock market investor sentiment and commodity futures returns
Zheng, Yao - In: Applied financial economics 24 (2014) 22/24, pp. 1491-1513
Persistent link: https://www.econbiz.de/10010460087
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Asymmetric stochastic volatility in emerging stock markets
Selçuk, Faruk - In: Applied financial economics 15 (2005) 12, pp. 867-874
Persistent link: https://www.econbiz.de/10003070719
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Estimating stock market volatility using asymmetric GARCH models
Alberg, Dima; Shalit, Haim; Yosef, Rami - In: Applied financial economics 18 (2008) 13/15, pp. 1201-1208
Persistent link: https://www.econbiz.de/10003760244
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The mean volatility asymmetry in Asian stock markets
Liau, Yung-Shi; Yang, Jack J. W. - In: Applied financial economics 18 (2008) 4/6, pp. 411-419
Persistent link: https://www.econbiz.de/10003739136