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Volatility discovery : can the CDS market beat the equity options market?
Forte, Santiago; Lovreta, Lidija - In: Finance research letters 28 (2019), pp. 107-111
Persistent link: https://www.econbiz.de/10012388022
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462
Persistent link: https://www.econbiz.de/10011300430
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Finance research letters 28 (2019), pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
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Corporate bond pricing model with stochastically volatile firm value process
Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44
Persistent link: https://www.econbiz.de/10011619792
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Traders' heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets
Nappo, Giovanna; Marchetti, Fabio Massimo; Vagnani, Gianluca - In: Finance research letters 53 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472484
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Price discovery in the volatility index option market : a univariate GARCH approach
Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014494881
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Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015071365
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Time varying price discovery
Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21
Persistent link: https://www.econbiz.de/10011376376