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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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The predictability of KLSE CI stock index futures returns and the conditional multifactor APT model
Ford, James L.; Pok, Wee Ching; Poshakwale, Sunil S. - 2006
Persistent link: https://www.econbiz.de/10003349102
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...
Persistent link: https://www.econbiz.de/10009724429
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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
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The intraday ex ante profitability of DAX-futures arbitrage for institutional investors in Germany : the case of early and late transactions
Bamberg, Günter - In: Finanzmarkt und Portfolio-Management 8 (1994) 1, pp. 50-62
Persistent link: https://www.econbiz.de/10001217692
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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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The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
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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 effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
Persistent link: https://www.econbiz.de/10001583865