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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

Persistent link: https://www.econbiz.de/10011900335

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363

Are banks happy when managers go long? : the information content of managers' vested option holdings for loan pricing

Dezsö, Cristian L.; Ross, David Gaddis - In: Journal of financial economics 106 (2012) 2, pp. 395-410

Persistent link: https://www.econbiz.de/10009666527

Price discovery for options

Malamud, Semyon; Tseng, Michael; Zhang, Yuan - 2020

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The …

Persistent link: https://www.econbiz.de/10012271186

Capital structure effects on the prices of equity call options

Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253

Persistent link: https://www.econbiz.de/10011590712

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

The jump leverage risk premium

Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10014462640

Volatility and the cross-section of returns on FX options

Fullwood, Jonathan; James, Jessica; Marsh, Ian - In: Journal of financial economics 141 (2021) 3, pp. 1262-1284

Persistent link: https://www.econbiz.de/10012873205

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

Implied volatility duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Journal of financial economics 140 (2021) 1, pp. 127-144

Persistent link: https://www.econbiz.de/10013188678