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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...
Persistent link: https://www.econbiz.de/10010292735
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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert C. - 2011
Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...
Persistent link: https://www.econbiz.de/10010334474
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Arbitrage in foreign exchange markets within the context of a transactional algebra
Apreda, Rodolfo - 2005
This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange … markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage … expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction …
Persistent link: https://www.econbiz.de/10010323288
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
Fengler, Matthias R.; Wang, Qihua - 2003
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility...
Persistent link: https://www.econbiz.de/10010296461
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Confidence Intervals for State Price Densities
Hlávka, Zdeněk - 2003
Likelihood theory. The method works well in praxis as illustrated on the DAX option prices data. …
Persistent link: https://www.econbiz.de/10010296470
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10010296646
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially …
Persistent link: https://www.econbiz.de/10010298395
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Feature extraction with hybrid neural networks
Wegmann, Georg - 2000
optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …
Persistent link: https://www.econbiz.de/10010301758
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Modeling and Forecasting DAX Index Volatility
Lazarov, Zdravetz - 2004
The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...
Persistent link: https://www.econbiz.de/10010263102
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An Empirical Comparison of Alternative Stochastic Volatility Models
Belledin, Michael; Schlag, Christian - 1999
Persistent link: https://www.econbiz.de/10010316281