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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …
Persistent link: https://www.econbiz.de/10012695346
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Asymmetric volatility spillover between European equity and foreign exchange markets : evidence from the frequency domain
Warshaw, Evan - In: International review of economics & finance : IREF 68 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012486281
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An investigation of return and volatility linkages among equity markets : a study of selected European and emerging countries
Yavas, Burhan F.; Dedi, Lidija - In: Research in international business and finance 37 (2016), pp. 583-596
Persistent link: https://www.econbiz.de/10011595408
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Forecasting European stock volatility : the role of the UK
Gao, Jun; Gao, Xiang; Gu, Chen - In: International review of financial analysis 89 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014464832
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The impact of quantitative easing on stock market : evidence from Greece
Karagiannopoulou, Sofia; Patsis, Paris; Sariannidis, … - In: Business Development and Economic Governance in …, (pp. 297-313). 2022
Persistent link: https://www.econbiz.de/10013415082
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24-Hour Realized Volatilities and Transatlantic Volatility Interdependence
Maderitsch, Robert - 2015
. (2008)'s HAR-GARCH model. The results suggest that the contemporaneous transatlantic volatility interdependence is …
Persistent link: https://www.econbiz.de/10013029608
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The volatility spillover effect between index options and their underlying markets : evidence from the US, the UK, and Taiwan
Chan, Chia-Ying; Peretti, Christian de; Wang, Ming-Chun; … - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 700-733
Persistent link: https://www.econbiz.de/10011779396
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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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Intra-Day Realized Volatility for European and USA Stock Indices
Degiannakis, Stavros Antonios - 2019
The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the … volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility …
Persistent link: https://www.econbiz.de/10012897936