Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei [2004. Weather derivatives valuation and market price of weather risk. The Journal of Futures Markets 24, no. 11: 1065-89] price them by...

We attempt to consolidate (at least in part) the vast literature on oil shocks and stock returns by decomposing the influence of oil shocks into two channels of effect: ‘direct’ and ‘indirect’. Using a simple empirical asset pricing model it is shown that oil shocks can affect stocks not...

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and...

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading...

We attempt to consolidate (at least in part) the vast literature on oil shocks and stock returns by decomposing the influence of oil shocks into two channels of effect: ‘direct’ and ‘indirect’. Using a simple empirical asset pricing model, it is shown that oil shocks can affect stocks...

The main determination of mortgage risk factors is undoubtedly related to the housing price. In this article, we employ threshold GARCH process in practical analysis, to capture the house price dynamic on the logarithm return. This study also estimates the housing price volatility in the...

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in...

This paper studies the long-term dependence and the possible asymmetric behavior of the financial time series. Both can be modeled using a fractionally integrated autoregressive moving average time series model with threshold-type conditional heteroscedasticity, denoted as an ARFIMA–TGARCH...

A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric...

This paper aims to study the structural tail dependences and risk magnitude of contagion risk during high risk state between domestic and foreign banks. Empirically, volatility of stock returns has the properties of persistence, clustering, heteroscedasticity, and regime switchs. Thus, the...