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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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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
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Discrete stochastic autoregressive volatility
Cordis, Adriana S.; Kirby, Chris - In: Journal of banking & finance 43 (2014), pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313