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Option-implied probability distributions : How reliable? How jagged?
Taboga, Marco - In: International review of economics & finance : IREF 45 (2016), pp. 453-469
Persistent link: https://www.econbiz.de/10011626502
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Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346
Persistent link: https://www.econbiz.de/10012033703
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Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market
Yen, Yu-min - In: International review of economics & finance : IREF 62 (2019), pp. 240-266
Persistent link: https://www.econbiz.de/10012205548
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Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis
Tao, Qizhi; Wei, Yu; Liu, Jiapeng; Zhang, Ting - In: International review of economics & finance : IREF 54 (2018), pp. 143-153
Persistent link: https://www.econbiz.de/10012033354
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Systematic risk and volatility skew
Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87
Persistent link: https://www.econbiz.de/10011625535
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Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk
Chen, Yi-Hsuan; Tu, Anthony H. - In: International review of economics & finance : IREF 27 (2013), pp. 514-528
Persistent link: https://www.econbiz.de/10009740775
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Return distribution predictability and its implications for portfolio selection
Zhu, Min - In: International review of economics & finance : IREF 27 (2013), pp. 209-223
Persistent link: https://www.econbiz.de/10009740823
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Trading activity, risk aversion, and risk neutral skewness : evidence from SSE 50ETF option
Jiang, Zhengyun; Zhou, Xin - In: International review of economics & finance : IREF 91 (2024), pp. 378-399
Persistent link: https://www.econbiz.de/10014492161
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International portfolio allocation : the role of conditional higher moments
Trung Hai Le - In: International review of economics & finance : IREF 74 (2021), pp. 33-57
Persistent link: https://www.econbiz.de/10012792935
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011571858