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Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Zheng, Tingguo; Zuo, Haomiao - In: The North American journal of economics and finance : a … 26 (2013), pp. 643-662
Persistent link: https://www.econbiz.de/10010370486
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Analysis of the impact of COVID-19 pandemic on G20 stock markets
Li, Yanshuang; Zhuang, Xintian; Wang, Jian; Dong, Zibing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10013187672
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The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013449345
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Dynamic volatility spillovers between industries in the US stock market : evidence from the COVID-19 pandemic and Black Monday
Choi, Sun-Yong - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013413560
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The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets : evidence from the time-frequency co-movements
Dash, Saumya Ranjan; Maitra, Debasish - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013534037
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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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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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?
Hattori, Takahiro; Ishida, Ryo - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012821885