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Producing derivative assets with forward contracts

Bick, Avi - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 2, pp. 153-160

Persistent link: https://www.econbiz.de/10001053429

On the consistency of the black-scholes model with a general equilibrium framework

Bick, Avi - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 259-275

Persistent link: https://www.econbiz.de/10001037502

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were … needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful … information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk …

Persistent link: https://www.econbiz.de/10012388066

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012309325