Narrow search
Showing 1 - 10 of 197
Cover Image
Exchange rate risk and uncertainty and trade flows: asymmetric evidence from Asia
Bahmani-Oskooee, Mohsen; Akhtar, Parveen; Ullah, Sana; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/128, pp. 1-16
Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was …
Persistent link: https://www.econbiz.de/10012309080
Cover Image
Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
Cover Image
Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
Cover Image
Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
Cover Image
The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus
Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16
the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …
Persistent link: https://www.econbiz.de/10013161866
Cover Image
Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL
Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13
The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...
Persistent link: https://www.econbiz.de/10011895619
Cover Image
The impact of exchange rate volatility on exports in Vietnam : a bounds testing approach
Nguyen Thi Thuy Vinh; Trinh Thi Thuy Duong - In: Journal of risk and financial management : JRFM 12 (2019) 1/6, pp. 1-14
This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the … testing approach to the analysis of level relationships between effective exchange rate volatility and exports. Using the … results show that exchange rate volatility negatively affects the export volume in the long run, as expected. A depreciation …
Persistent link: https://www.econbiz.de/10011961686
Cover Image
Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21
difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …
Persistent link: https://www.econbiz.de/10012022144
Cover Image
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://www.econbiz.de/10012022240
Cover Image
Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82
volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …
Persistent link: https://www.econbiz.de/10011552872