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Inferring changing macroeconomic expectations from current financial indicators
Ratcliff, Ryan David - 2005
Persistent link: https://www.econbiz.de/10003909239
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Investor expectations of volatility increases around large stock splits as implied in call option premia
Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
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Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria; Urga, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009381375
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Effect of return and volatility calculation on option pricing : an analysis using BANKNIFTY
Ahmad, Akhlaque - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 103-110
Persistent link: https://www.econbiz.de/10011420532
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Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
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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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Cross-section stock return and implied covariance between jump and diffusive volatility
Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390
Persistent link: https://www.econbiz.de/10011318319
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468