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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …
Persistent link: https://www.econbiz.de/10010274154
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Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10010478816
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The information content of derivatives for monetary policy: Implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10010478817
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010303710
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Long-run Models of Oil Stock Prices
Lanza, Alessandro; Manera, Matteo; Grasso, Margherita; … - 2003
-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly …
Persistent link: https://www.econbiz.de/10011325127
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Global Integration of Central and Eastern European Financial Markets – The Role of Economic Sentiments
Belke, Ansgar; Beckmann, Joscha; Kühl, Michael - 2010
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEECs' fi nancial markets. Since the...
Persistent link: https://www.econbiz.de/10010269983
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Global integration of Central and Eastern European financial markets: the role of economic sentiments
Belke, Ansgar; Beckmann, Joscha; Kühl, Michael - 2009
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the...
Persistent link: https://www.econbiz.de/10010271117
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Can common stocks provide a hedge against inflation? Evidence from African countries
Alagidede, Paul; Panagiotidis, Theodore - 2010
markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …
Persistent link: https://www.econbiz.de/10010273656
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010
We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …
Persistent link: https://www.econbiz.de/10010273679
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010270722