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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010326212
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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Finding Safe, Simple Alternatives to Over-the-Counter Instruments and Markets. A Positive Response to the OTC Market Risky Disequilibrium and Post-Crisis Poor Regulatory Remedies
Dew, James Kurt - 2015
Over-the-counter (OTC) traders cannot pursue the two fundamental objectives of portfolio management, the identification of portfolio market risk and return and its diversification. The result of this major market shortcoming is a complex, systemically risky market disequilibrium. The tradable...
Persistent link: https://www.econbiz.de/10013019443
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Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010415789
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Financial crises and time-varying risk premia in a small open economy: a Markov-switching DSGE model for Estonia
Blagov, Boris - In: Empirical economics : a journal of the Institute for … 54 (2018) 3, pp. 1017-1060
Persistent link: https://www.econbiz.de/10011949450
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Asset Price Fluctuations, Financial Crises and the Stabilizing Effects of a General Transaction Tax
Schulmeister, Stephan - 2010
The deepening of the recent crisis was driven by the simultaneous devaluation of stock wealth, housing wealth and commodity wealth. The potential for this devaluation process had been “built up” during the boom of stock prices, house prices and commodity prices between 2003 and 2007. Hence,...
Persistent link: https://www.econbiz.de/10013135724
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Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010
Hui, Cho-Hoi - 2012
The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...
Persistent link: https://www.econbiz.de/10013115993
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The Correlation Structure of FX Option Markets Before and Since the Financial Crisis
Chalamandaris, George - 2011
an extensive set of volatility surfaces implied from over-the-counter options on 11 different exchange rates, as well as …
Persistent link: https://www.econbiz.de/10013125657
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Crude Oil Price Dynamics with Crash Risk Under Fundamental Shocks
Hui, Cho-Hoi - 2020
Our paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived...
Persistent link: https://www.econbiz.de/10012839968