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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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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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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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Duration models, heterogeneous beliefs, and optimal trading
Heijden, Thijs van der - 2011
Persistent link: https://www.econbiz.de/10009159983
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …
Persistent link: https://www.econbiz.de/10009724429
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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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The impact of derivatives hedging on the stock market : evidence from Taiwan's covered warrants market
Chung, San-lin; Liu, Wen-rang; Tsai, Wei-che - In: Journal of banking & finance 42 (2014), pp. 123-133
Persistent link: https://www.econbiz.de/10010408417
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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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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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The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion
Bhamra, Harjoat Singh - 2010
precautionary demand for savings is not too high, then the introduction of a nonredundant derivative increases the volatility of … stock market returns. Furthermore, in the economy with the derivative, the volatility of stock market returns can be …We study the effect of introducing a nonredundant derivative on the volatilities of the stock market return and the …
Persistent link: https://www.econbiz.de/10013152695