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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
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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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Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012520206
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Predator-prey model for stock market fluctuations
Montero, Miquel - In: Journal of economic interaction and coordination 16 (2021) 1, pp. 29-57
Persistent link: https://www.econbiz.de/10012428415
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Using a mean changing stochastic processes exit-entry model for stock market longshort prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012534838
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Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
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Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices
Shaik, Muneer; Maheswaran, S. - In: Journal of emerging market finance 15 (2016) 3, pp. 333-361
Persistent link: https://www.econbiz.de/10011691166
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Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien; Goutte, Stéphane - In: Applied economics 49 (2017) 2, pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
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A hidden Markov Model inference approach to testing the random walk hypothesis : empirical evidence from the Nigerian stock market
Nkemnole, Edesiri - In: Journal of economic and financial sciences 9 (2016) 3, pp. 696-713
Persistent link: https://www.econbiz.de/10011658239