Narrow search
Showing 1 - 10 of 7,760
Cover Image
Long memory and volatility behaviour in Paris option market
Souissi, Nessim; Aloulou, Abderrahmen - In: International journal of bonds and derivatives 1 (2015) 4, pp. 273-283
Persistent link: https://www.econbiz.de/10011546734
Cover Image
Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex
Rathgeber, Andreas - In: Kredit und Kapital 40 (2007) 3, pp. 451-484
Persistent link: https://www.econbiz.de/10003564452
Cover Image
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Cover Image
Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
Cover Image
Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
Cover Image
The relation between national stock prices and effective exchange rates : does it affect exchange rate exposure?
Korhonen, Marko - In: Global economy journal : GEJ 15 (2015) 2, pp. 241-256
Persistent link: https://www.econbiz.de/10011339438
Cover Image
Reexamining the exchange rate exposure puzzle by classifying exchange rate risks into two types
Kang, Sam-mo; Kim, Soyoung; Lee, Jeong Wook - In: Global economic review 45 (2016) 2, pp. 116-133
Persistent link: https://www.econbiz.de/10011565902
Cover Image
Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
Cover Image
Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
Cover Image
Understanding the price of volatility risk in carry trades
Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129
Persistent link: https://www.econbiz.de/10011543818