claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis … volatility and implied volatility. A new method is then provided to estimate the implied volatility from the model. The third …

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 …

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the … volatility spillovers. Nevertheless, mean spillovers from the developed to the emerging markets are not homogeneous across the … emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-à-vis the German mark using …

. Yet some in this debate haveargued that, given the extreme volatility in agricultural commodity markets, theadditional …

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different … vary across delivery horizons. Further, it is shown thatthe price volatility is higher before the harvest starts in most of … the cases compared tothe volatility during the planting period. These results have implications for hedging …

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 …