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Jumps in foreign exchange rates and stochastic unwinding of carry trades
Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127
Persistent link: https://www.econbiz.de/10009304196
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Asset prices with stochastic volatilities and a UIP puzzle
Lee, Eunhee - In: International review of economics & finance : IREF 64 (2019), pp. 41-61
Persistent link: https://www.econbiz.de/10012322223
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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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An enhanced implied tree model for option pricing : a study on Hong Kong property stock options
Hui, Eddie Chi Man - In: International review of economics & finance : IREF 15 (2006) 3, pp. 324-345
Persistent link: https://www.econbiz.de/10003357607
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Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
Chung, Huimin; Sheu, Her-jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-754
Persistent link: https://www.econbiz.de/10009006975
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Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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The determinants of exchange settlement practices and the implication of volatility smile : evidence from the Taiwan Futures Exchange
Szu, Wen-ming; Wang, Ming-chun; Yang, Wan-ru - In: International review of economics & finance : IREF 20 (2011) 4, pp. 826-838
Persistent link: https://www.econbiz.de/10009303803
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Do liquidity and sampling methods matter in constructing volatility indices? : empirical evidence from Taiwan
Tzang, Shyh-weir; Hung, Chih-hsing; Wang, Chou-wen; … - In: International review of economics & finance : IREF 20 (2011) 2, pp. 312-324
Persistent link: https://www.econbiz.de/10009304121