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Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
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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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Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012659807
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Volatility smiles when information is lagged in prices
Marcato, Gianluca; Sebehela, Tumellano; Campani, Carlos … - In: The North American journal of economics and finance : a … 46 (2018), pp. 151-165
Persistent link: https://www.econbiz.de/10012036614
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Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
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Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
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CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
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Arbitrage-free conditions for implied volatility surface by Delta
Wang, Ximei; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 48 (2019), pp. 819-834
Persistent link: https://www.econbiz.de/10012120342
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An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets
Kearney, Fearghal; Murphy, Finbarr; Cummins, Mark - In: The North American journal of economics and finance : a … 33 (2015), pp. 199-216
Persistent link: https://www.econbiz.de/10011535207