Narrow search
Showing 1 - 10 of 3,272
Cover Image
The law of one price in equity volatility markets
Van Tassel, Peter - 2020
This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...
Persistent link: https://www.econbiz.de/10012391498
Cover Image
International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
Nitschka, Thomas - 2007
Persistent link: https://www.econbiz.de/10003690964
Cover Image
International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
Nitschka, Thomas - In: German economic review 11 (2010) 4, pp. 527-544
Persistent link: https://www.econbiz.de/10008772903
Cover Image
Does gold-platinum price ratio predict stock returns? : international evidence
Xu, Dezhong; Li, Bin; Singh, Tarlok - In: International journal of managerial finance : IJMF 19 (2023) 2, pp. 308-330
Persistent link: https://www.econbiz.de/10014325743
Cover Image
Value at risk estimation for stock indices using the Basle committee proposal from 1995
Pojarliev, Momtchil; Polasek, Wolfgang - 2000
Persistent link: https://www.econbiz.de/10001537678
Cover Image
Comparison of GARCH and ANN model for forecasting volatility : Evidence based on Indian stock markets
Shaik, Muneer; Sejpal, Aditya - In: The journal of prediction markets 14 (2020) 2, pp. 103-121
Persistent link: https://www.econbiz.de/10012667736
Cover Image
Risk management for a commercial lending portfolio using time series forecasting and small datasets
Ganguli, Tanmoy - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 188-202
Persistent link: https://www.econbiz.de/10011622284
Cover Image
Which model performs better while forecasting stock market volatility? : answer for Dhaka Stock Exchange (DSE)
Abdullah, S. M.; Kabir, Mohammod Akbar; Jahan, Kawsar; … - In: Theoretical economics letters 8 (2018) 14, pp. 3203-3222
Persistent link: https://www.econbiz.de/10011955144
Cover Image
Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
Cover Image
Forecasting stock market realized volatility : the role of global terrorist attacks
Wen, Danyan; He, Mengxi; Wang, Yudong; Zhang, Yaojie - In: Applied economics 55 (2023) 22, pp. 2551-2566
Persistent link: https://www.econbiz.de/10014295065