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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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The relative pricing of European dividend futures and their predictive abilities for index returns
Stotz, Olaf - In: The European journal of finance 22 (2016) 13/15, pp. 1484-1506
Persistent link: https://www.econbiz.de/10011715480
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Implied volatility smirk and future stock returns : evidence from the German market
Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial finance 41 (2015) 12, pp. 1357-1379
Persistent link: https://www.econbiz.de/10011504242
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Tail comovements of implied volatility indices and global index futures returns predictability
Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014463335
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Price discovery and volatility transmission in the spot and futures market of pepper : an empirical analysis
Nadig, Asha; Viswanathan, T. - In: International journal of intelligent enterprise 9 (2022) 1, pp. 78-99
Persistent link: https://www.econbiz.de/10012799917
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Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index
Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Journal of financial management and analysis : … 28 (2015) 2, pp. 35-49
Persistent link: https://www.econbiz.de/10011535334
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Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141
Persistent link: https://www.econbiz.de/10011624091
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The international spillover behaviour of implied volatilities and forecasting ability of spillover indices
Kae-Yih, Tzeng - In: Applied economics 55 (2023) 48, pp. 5719-5735
Persistent link: https://www.econbiz.de/10014335666
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The predictability of opening returns for the returns of the trading day : evidence from Taiwan futures market
Chen, Chun-nan - In: International review of economics & finance : IREF 25 (2013), pp. 272-281
Persistent link: https://www.econbiz.de/10009693299
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137