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Can the market divide and multiply? : a case of 807 percent mispricing
Assem, Martijn J. van den; Dolder, Dennie van; … - In: Review of behavioral finance : RBF 14 (2022) 1, pp. 35-44
Persistent link: https://www.econbiz.de/10013286590
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Return and volatility linkages between the US and the German stock market
Baur, Dirk; Jung, Robert - In: Journal of international money and finance 25 (2006) 4, pp. 598-613
Persistent link: https://www.econbiz.de/10003336485
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
Persistent link: https://www.econbiz.de/10003880587
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …
Persistent link: https://www.econbiz.de/10003889148
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …
Persistent link: https://www.econbiz.de/10003898817
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2010
Persistent link: https://www.econbiz.de/10008908037
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Dependencies between European stock markets when price changes are unusually large
Schich, Sebastian T. - 2002
data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …
Persistent link: https://www.econbiz.de/10011431447
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Price jumps on European stock markets
Hanousek, Jan; Kočenda, Evžen; Novotný, Jan - 2013
Persistent link: https://www.econbiz.de/10010235638
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
Persistent link: https://www.econbiz.de/10003828611