hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We … new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

This study analyses India's inflation using the Phillips curve theory. To estimate an open-economy Phillips curve, we … need three variables: (1) inflation (2) the output gap and (3) the real effective exchange rate. In India, the incorrect … composite consumer price index (CCPI) was the best measure of inflation, and should be used to construct the real effective …

The author identifies sources of volatility in Argentina that include weak international financial links, a recurrent …

of this analysis is that the model overestimates output persistence in high inflation countries and underestimates output … persistence in low inflation countries. This has important implications not only for this model, but also for any economist …

power. We perform a simulation study and apply the results to a case study where the interest lies in evaluating the effect …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …