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Option-Implied variance asymmetry and the cross-section of stock returns

Huang, Tao; Li, Junye - In: Journal of banking & finance 101 (2019), pp. 21-36

Persistent link: https://www.econbiz.de/10012162590

The information content of option ratios

Blau, Benjamin; Nguyen Nga; Whitby, Ryan J. - In: Journal of banking & finance 43 (2014), pp. 179-187

Persistent link: https://www.econbiz.de/10010410010

Order flow, bid–ask spread and trading density in foreign exchange markets

Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of banking & finance 36 (2012) 2, pp. 597-612

Persistent link: https://www.econbiz.de/10009511764

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Volatility modeling for forecasting stock index with fixed parameter distributional assumption

Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...

Persistent link: https://www.econbiz.de/10009741216