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The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
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The relation between national stock prices and effective exchange rates : does it affect exchange rate exposure?
Korhonen, Marko - In: Global economy journal : GEJ 15 (2015) 2, pp. 241-256
Persistent link: https://www.econbiz.de/10011339438
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Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
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Reexamining the exchange rate exposure puzzle by classifying exchange rate risks into two types
Kang, Sam-mo; Kim, Soyoung; Lee, Jeong Wook - In: Global economic review 45 (2016) 2, pp. 116-133
Persistent link: https://www.econbiz.de/10011565902
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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
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The effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets
Sandoval, Eduardo; Vásquez, Arturo - In: The international journal of business and finance … 2 (2008) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10003951974
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Risk in carry trades : a look at target currencies in Asia and the Pacific
Gyntelberg, Jacob; Remolona, Eli M. - In: BIS quarterly review : international banking and … (2007), pp. 73-82
Persistent link: https://www.econbiz.de/10003624438
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A multi-index GARCH approach on the impact of risk factors on the returns and volatility of banking stocks in India
Tanima Niyogi Sinha Roy; Bhattacharya, Basabi - In: Asian African journal of economics and econometrics 11 (2011) 2, pp. 357-374
Persistent link: https://www.econbiz.de/10009571384
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Carry trades and global foreign exchange volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - In: The journal of finance : the journal of the American … 67 (2012) 2, pp. 681-718
Persistent link: https://www.econbiz.de/10009533994