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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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Implied volatility and the risk-free rate of return in options markets
Bianconi, Marcelo; McLachlan, Scott; Sammon, Marco - In: The North American journal of economics and finance : a … 31 (2015), pp. 1-26
Persistent link: https://www.econbiz.de/10011511024
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Valuing spread options with counterparty risk and jump risk
Li, Zelei; Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen; Lo, Chien-Ling; Tsai, Jeffrey Tzuhao - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
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Implied risk aversion and pricing kernel in the FTSE 100 index
Liao, Wen Ju; Sung, Hao-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012667184
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Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
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A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
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The asymmetric effect of crude oil prices on stock prices in major international financial markets
Jiang, Wei; Liu, Yan - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012821296
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U.S. uncertainty and Asian stock prices : evidence from the asymmetric NARDL model
Liang, Chin Chia; Troy, Carol; Rouyer, Ellen - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012659104
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Relationship between oil, stock prices and exchange rates : a vine copula based GARCH method
Aloui, Riadh; Ben Aïssa, Mohamed Safouane - In: The North American journal of economics and finance : a … 37 (2016), pp. 458-471
Persistent link: https://www.econbiz.de/10011672989