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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - 1997
Persistent link: https://www.econbiz.de/10000966018
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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - 1997
Persistent link: https://www.econbiz.de/10000633327
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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 231-255
Persistent link: https://www.econbiz.de/10001250344
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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …
Persistent link: https://www.econbiz.de/10011523414
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …
Persistent link: https://www.econbiz.de/10011883272
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
Persistent link: https://www.econbiz.de/10001583865
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The effect of introducing a non-redundant derivative on the volatility of stock-market returns when agents differ in risk aversion
Bhamra, Harjoat Singh; Uppal, Raman - In: The review of financial studies 22 (2009) 6, pp. 2303-2330
Persistent link: https://www.econbiz.de/10003866729
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Dynamic consumption and asset allocation with derivative securities
Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009
Persistent link: https://www.econbiz.de/10003796940
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Duration models, heterogeneous beliefs, and optimal trading
Heijden, Thijs van der - 2011
Persistent link: https://www.econbiz.de/10009159983
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The information content of financial derivatives : empirical evidence
Wipplinger, Evert - 2013
Persistent link: https://www.econbiz.de/10010190940