Narrow search
Showing 1 - 10 of 3,353
Cover Image
Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
Cover Image
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
Cover Image
Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Cover Image
Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Cover Image
Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280
Persistent link: https://www.econbiz.de/10012486492
Cover Image
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Cover Image
Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan - In: Journal of banking & finance 61 (2015) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
Cover Image
Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …
Persistent link: https://www.econbiz.de/10011883272
Cover Image
Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai - In: The journal of futures markets 44 (2024) 6, pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
Cover Image
Nonlinear examination of the "heat wave" and "meteor shower" effects between spot and futures markets of the precious metals
Živkov, Dejan; Manić, Slavica; Pavkov, Ivan - In: Empirical economics : a quarterly journal of the … 63 (2022) 2, pp. 1109-1134
Persistent link: https://www.econbiz.de/10013440356