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Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …
Persistent link: https://www.econbiz.de/10012657696
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Investment in high-frequency trading technology : a real options approach
Delaney, Laura - In: European journal of operational research : EJOR 270 (2018) 1, pp. 375-385
Persistent link: https://www.econbiz.de/10011869029
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Do foreign institutions outperform in the Taiwan options market?
Lin, William; Tsai, Shih-Chuan; Chiu, Peter - In: The North American journal of economics and finance : a … 35 (2016), pp. 101-115
Persistent link: https://www.econbiz.de/10011672304
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Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin; Jarrow, Robert A. - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
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Differences in trading and pricing between stock and index options
Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001
Persistent link: https://www.econbiz.de/10010403590
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Essays on high frequency financial econometrics
Yang, Xiye - 2015
Persistent link: https://www.econbiz.de/10011279802
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Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
Chung, Huimin; Sheu, Her-jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-754
Persistent link: https://www.econbiz.de/10009006975
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - 2013
Persistent link: https://www.econbiz.de/10009719695
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Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data
Audrino, Francesco - 2015
directionally biased due to the presence of stochastic volatility. The Heston model reduces the mismatch in realized variance …
Persistent link: https://www.econbiz.de/10013035674