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Essays in financial economics
Lu, Yinqiu - 2005
Persistent link: https://www.econbiz.de/10003553447
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014
Persistent link: https://www.econbiz.de/10011418887
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Can derivative information predict stock price jumps?
Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860
Persistent link: https://www.econbiz.de/10011304812
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
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U.S. stock market crash risk, 1926–2010
Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790
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Time-lags between price changes of stocks and stock options
Gais, Martina; Hecker, Renate; Wenger, Ekkehard - In: Empirical research on the German capital market : with …, (pp. 255-279). 1999
Persistent link: https://www.econbiz.de/10001427684