multi-asset price impact model. The model setup is general---both flows and fundamental returns can be correlated for the … model, we propose a new VAR restriction. The equilibrium price impacts obey a factor structure, where each factor's price …

the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights …-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland …

-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis … contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this …

Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in … investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a … secular trend, volatility clustering and calendar effects are two commonly occurring sources of such variation. To analyze …

Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in … the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature … psychological time threshold, most factors typically influencing price changes cease to apply. This paper analyzes several …

(leptokurtic distribution, excess volatility, time-varying linear and nonlinear autocorrelations in returns, and time …