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Price limits and stock market volatility

Kim, Kenneth A. - In: Economics letters 71 (2001) 1, pp. 131-136

Persistent link: https://www.econbiz.de/10001564119

The effect of price limits on intraday volatility and information asymmetry

Kim, Yong H.; Yang, J. Jimmy - In: Pacific-Basin finance journal 16 (2008) 5, pp. 522-538

Persistent link: https://www.econbiz.de/10003800169

A censored stochastic volatility approach to the estimation of price limit moves

Hsieh, Ping-hung; Yang, J. Jimmy - In: Journal of empirical finance 16 (2009) 2, pp. 337-351

Persistent link: https://www.econbiz.de/10003839342

News sentiment and stock market volatility

Hsu, Yen-Ju; Lu, Yang-cheng; Yang, J. Jimmy - In: Review of quantitative finance and accounting 57 (2021) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012620049

Does the tail risk index matter in forecasting downside risk?

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466

Persistent link: https://www.econbiz.de/10014327761

Intraday momentum in the VIX futures market

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - In: Journal of banking & finance 148 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248282

Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures

Chen, Yu-Lun; Chang, Yung Ting; Yang, J. Jimmy - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473441

Trading activity of VIX futures and options around FOMC announcements

Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543990

Price dynamics and volatility jumps in bitcoin options

Chen, Kuo Shing; Yang, J. Jimmy - In: Financial innovation : FIN 10 (2024), pp. 1-29

In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives. We fnd pricing errors in the presence of market smiles in Bitcoin...

Persistent link: https://www.econbiz.de/10014547297

Price limit performance : evidence from the Tokyo Stock Exchange

Kim, Kenneth A. - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 885-901

Persistent link: https://www.econbiz.de/10001222411