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COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index
Rubbaniy, Ghulame; Polyzos, Stathis; Rizvi, Kumail Abbas; … - In: Economics letters 207 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10013169956
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Herding behavior, market sentiment and volatility : will the bubble resume?
Bekiros, Stelios; Jlassi, Mouna; Lucey, Brian M.; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 107-131
Persistent link: https://www.econbiz.de/10011938084
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Cross herding between American industries and the oil market
BenMabrouk, Houda; Litimi, Houda - In: The North American journal of economics and finance : a … 45 (2018), pp. 196-205
Persistent link: https://www.econbiz.de/10012117772
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Valuation of VIX derivatives
Mencía, Javier; Sentana, Enrique - In: Journal of financial economics 108 (2013) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
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Moment-based estimation of stochastic volatility
Bregantini, Daniele - In: Journal of banking & finance 37 (2013) 12, pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
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Spurious persistence in stochastic volatility
Messow, Philip; Krämer, Walter - In: Economics letters 121 (2013) 2, pp. 221-223
Persistent link: https://www.econbiz.de/10010346320
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Earning the right premium on the right factor in portfolio planning
Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383
Persistent link: https://www.econbiz.de/10011544589
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164