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Return and volatility linkages among G-7 and selected emerging markets

Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165

Persistent link: https://www.econbiz.de/10011335029

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

Maximum likelihood estimation of stochastic volatility models

Sandmann, Gleb; Koopman, Siem Jan - 1996

Persistent link: https://www.econbiz.de/10000953379

Stochastic volatility with an Ornstein-Uhlenbeck process : an extension

Schöbel, Rainer; Zhu, Jianwei - 1998 - Rev.

Persistent link: https://www.econbiz.de/10000676009

Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data

Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10011431109

Is standard deviation a good measure of volatility? : the case of African markets with price limits

Errais, Eymen; Bahri, Dhikra - In: Annals of economics and finance 17 (2016) 1, pp. 147-167

Persistent link: https://www.econbiz.de/10011539105

On the relationship of information processes and asset price processes

Lüders, Erik; Peisl, Bernhard - 2000 - This draft: February 11, 2000

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

Persistent link: https://www.econbiz.de/10011543916

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

Persistent link: https://www.econbiz.de/10011412294

The stress-dependent random walk

Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011419399

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