Narrow search
Showing 1 - 10 of 11,378
Cover Image
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
Cover Image
Das Management von Aktienkursrisiken mit Derivaten
Zimmermann, Heinz - In: Risikosteuerung von Derivaten, (pp. 5-85). 1996
Persistent link: https://www.econbiz.de/10001318384
Cover Image
Simultaneous expiration dates effects in index futures and options : arbitrage and hedging
Malick Ousmane, Sy - 1987
Persistent link: https://www.econbiz.de/10013265524
Cover Image
Portfolio effects of VIX futures index
Ratner, Mitchell; Chiu, Chih-Chieh - In: Quantitative finance and economics 1 (2017) 3, pp. 288-299
Persistent link: https://www.econbiz.de/10012137805
Cover Image
Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
Cover Image
Clustering of trading activity in the DAX index options market
Koch, Alexander K.; Lazarov, Zdravetz N. - 2001
Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...
Persistent link: https://www.econbiz.de/10011539670
Cover Image
Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are …
Persistent link: https://www.econbiz.de/10010464790
Cover Image
Asymmetries of the intraday return-volatility relation
Badshah, Ihsan Ullah; Frijns, Bart; Knif, Johan; … - In: International review of financial analysis 48 (2016), pp. 182-192
Persistent link: https://www.econbiz.de/10011624483
Cover Image
Price discovery of German index derivatives during financial turmoil
Frommherz, Anja - In: Review of managerial science 13 (2019) 1, pp. 147-179
Persistent link: https://www.econbiz.de/10011979671
Cover Image
Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model
Bei, Xinyue; Yang, Yanjia; Li, Liuling; Mizrach, Bruce … - In: Theoretical economics letters 4 (2014) 9, pp. 748-759
Persistent link: https://www.econbiz.de/10010531254