Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures … backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC … significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

changes in cotton economic fundamentals? (2) Have seasonaland long-run patterns of convenience yield and price volatility … changes in prices or volatility. …

measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the … portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model … this chapter, further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and …