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The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Bernales, Alejandro - 2013

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

Persistent link: https://www.econbiz.de/10013073319

Exchange rate risk pricing by US equity for US industrial portfolios

Raihan, Mahfuz - In: International journal of economics and finance 5 (2013) 11, pp. 13-21

Persistent link: https://www.econbiz.de/10010213399

Theta neutral gamma hedging

Högholm, Kenneth; Sundkvist, Kim - In: Contributions to accounting and finance : essays in …, (pp. 39-59). 2007

Persistent link: https://www.econbiz.de/10003612762

Return and volatility spillover between sectoral stock and oil price : evidence from Pakistan stock exchange

Malik, Muhammad Irfan; Rashid, Abdul - In: Annals of financial economics 12 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011716135

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Hainaut, Donatien - 2017

This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term propensities of observing a jump instantaneously. Here, the intensity of jump arrival is a multifactor self-excited process whereas the...

Persistent link: https://www.econbiz.de/10012969146