Narrow search
Showing 1 - 6 of 6
Cover Image
The asymmetric response of volatility to market changes and the volatility smile : evidence from Australian options
Tanha, Hassan; Dempsey, Michael - In: Research in international business and finance 34 (2015), pp. 164-176
Persistent link: https://www.econbiz.de/10011325745
Cover Image
The information content of ASX SPI 200 implied volatility
Tanha, Hassan; Dempsey, Michael - In: Review of Pacific Basin financial markets and policies 19 (2016) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011490536
Cover Image
Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
Cover Image
Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
Cover Image
The evolving dynamics of the Australian SPI 200 implied volatility surface
Tanha, Hassan; Dempsey, Michael - In: Journal of international financial markets, … 43 (2016), pp. 44-57
Persistent link: https://www.econbiz.de/10011673487
Cover Image
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404