Narrow search
Showing 1 - 10 of 304
Cover Image
Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility
Almeida, Thiago Ramos - In: Research in international business and finance 70 (2024) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10015055200
Cover Image
Using GMM to flatten the option volatility smile
Arnold, Tom - In: Research in international business and finance 20 (2006) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003374200
Cover Image
The asymmetric response of volatility to market changes and the volatility smile : evidence from Australian options
Tanha, Hassan; Dempsey, Michael - In: Research in international business and finance 34 (2015), pp. 164-176
Persistent link: https://www.econbiz.de/10011325745
Cover Image
Distilling private information from plain-vanilla options to predict future underlying stock price volatility : evidence from the H-shares of Chinese banks
Koutmos, Dimitrios - In: Research in international business and finance 37 (2016), pp. 391-405
Persistent link: https://www.econbiz.de/10011595294
Cover Image
Implied volatility surface construction for commodity futures options traded in China
Xu, Wei; Šević, Aleksandar; Šević, Željko - In: Research in international business and finance 61 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10014246888
Cover Image
Optimally sampled realized range-based volatility estimators
Vortelinos, Dimitrios I. - In: Research in international business and finance 30 (2014), pp. 34-50
Persistent link: https://www.econbiz.de/10010390353
Cover Image
The impact of co-jumps in the oil sector
Laurini, Márcio Poletti; Mauad, Roberto Baltieri; … - In: Research in international business and finance 52 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012548562
Cover Image
Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model
Shi, Yongjing; Tiwari, Aviral Kumar; Gozgor, Giray; Lu, Zhou - In: Research in international business and finance 53 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012549821
Cover Image
Investigating the leverage effect in commodity markets with a recursive estimation approach
Chevallier, Julien; Ielpo, Florian - In: Research in international business and finance 39 (2017), pp. 763-778
Persistent link: https://www.econbiz.de/10011912346
Cover Image
The day-of-the-week effect on Bitcoin return and volatility
Ma, Donglian; Tanizaki, Hisashi - In: Research in international business and finance 49 (2019), pp. 127-136
Persistent link: https://www.econbiz.de/10012136001