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Multifrequency jump-diffusions : an equilibrium approach
Calvet, Laurent E.; Fisher, Adlai - 2006
Persistent link: https://www.econbiz.de/10003407529
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Multifrequency jump-diffusions : an equilibrium approach
Calvet, Laurent E.; Fisher, Adlai - In: Journal of mathematical economics 44 (2008) 2, pp. 207-226
Persistent link: https://www.econbiz.de/10003709133
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Multifrequency Jump-Diffusions : An Equilibrium Approach
Calvet, Laurent E. - 2006
endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies …
Persistent link: https://www.econbiz.de/10012465862
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Market shocks and stock volatility : evidence from emerging and developed markets
Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …
Persistent link: https://www.econbiz.de/10014501165
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Foreign shocks on Chilean financial markets : spillovers and comovements between bond and equity markets
Morales, Marco; Moreno, Carola; Vio, Camilo - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 35-50
Persistent link: https://www.econbiz.de/10010485823
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Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets
Boateng, Ebenezer; Asafo-Adjei, Emmanuel; Gatsi, John … - In: Oeconomia Copernicana 13 (2022) 3, pp. 699-743
Persistent link: https://www.econbiz.de/10013449327
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Volatility Spillover Between Lebanese Political Shocks and Financial Market Returns
El-Chaarani, Hani - 2021
volatility from 2005 to 2014. Using a sample of (294) Lebanese political news, the results from GARCH, EGARCH and ARCH models … unfavorable political news announcements increase BSE volatility. Additional analysis shows that unfavorable political news has … greater impacts on BSE volatility and returns than favorable political news. It seems that BSE investors are more sensitive to …
Persistent link: https://www.econbiz.de/10013228074
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The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre-COVID and COVID periods
Lakshmi, Vdmv; Sisodia, Garima; Joseph, Anto; Tiwari, … - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 3007-3022
Persistent link: https://www.econbiz.de/10014635273
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Risk, Return and Dividends
Ang, Andrew - 2007
We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …
Persistent link: https://www.econbiz.de/10012465813
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Selected infinitely divisible distributions as models for financial return data - unconditional fit and option pricing
Fischer, Matthias - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001679700