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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping; Yu, Jun; Zhang, Chen - 2023
Persistent link: https://www.econbiz.de/10014320456
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Subdiffusive option price model with inverse Gaussian subordinator
Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024
The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...
Persistent link: https://www.econbiz.de/10014464920
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...
Persistent link: https://www.econbiz.de/10011872403
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Capital structure and financial flexibility : expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014 - This draft: 3 October 2014
We test one of the main predictions of the financial flexibility paradigm that expectations about future firm-specific shocks affect the firm's leverage. We extract the expectations of small and large future shocks from the market prices of equity options. We find that expectations for future...
Persistent link: https://www.econbiz.de/10010472840
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
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Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276
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The evolving impact of global, region-speci c and country-speci c uncertainty
Mumtazy, Haroon; Mussoz, Alberto - 2018
We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …
Persistent link: https://www.econbiz.de/10011904508
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …
Persistent link: https://www.econbiz.de/10010339759