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Trading futures using a channel rule : a study of the predictive power of technical analysis with currency examples

Taylor, Stephen - In: The journal of futures markets 14 (1994) 2, pp. 215-235

Persistent link: https://www.econbiz.de/10001169801

VIX derivatives : valuation models and empirical evidence

Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min-Teh - In: Pacific-Basin finance journal 53 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012133281

Intraday volatility patterns in the Taiwan stock market and the impact on volatility forecasting

Wang, Yaw-huei; Wang, Yun-Yi - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 70-89

Persistent link: https://www.econbiz.de/10009315274

VIX Derivatives : Valuation Models and Empirical Evidence

Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min‐Teh - 2023

This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...

Persistent link: https://www.econbiz.de/10014355843

Determinants of new venture performance : towards a resource-based model

Taylor, Stephen - 1996

Persistent link: https://www.econbiz.de/10000607729

Cojumps in stock prices : empirical evidence

Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459

Persistent link: https://www.econbiz.de/10010404700

Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen - In: Applied financial economics 12 (2002) 5, pp. 319-329

Persistent link: https://www.econbiz.de/10001688802

Intraday effects of foreign exchange intervention by the Bank of Japan

Chang, Yuanchen - In: Journal of international money and finance 17 (1998) 1, pp. 191-210

Persistent link: https://www.econbiz.de/10001338365

The term structure of volatility implied by foreign exchange options

Xu, Xinzhong - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 57-74

Persistent link: https://www.econbiz.de/10001166027

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597