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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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EURUSD intraday price reversal
Wiśniewska, Marta - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 152-162
Persistent link: https://www.econbiz.de/10011419222
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To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets
Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10010193320
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International evidence of spillover effects of deposit rates : a multivariate garch model
Hsiao, Fujen Daniel; Hu, Yan - In: The international journal of business and finance … 8 (2014) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10010205762
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Testing for time-varying properties under misspecified conditional mean and variance
Maki, Daiki; Ota, Yasushi - In: Computational economics 57 (2021) 4, pp. 1167-1182
Persistent link: https://www.econbiz.de/10012543270
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The role of trading volume in the "volatility puzzle"
Lee, Dong Wook - In: Asia-Pacific journal of financial studies 44 (2015) 5, pp. 783-809
Persistent link: https://www.econbiz.de/10011471060
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul; Pirjol, Dan - In: Quantitative finance 23 (2023) 4, pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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Interest rate convexity and the volatility smile
Boenkost, Wolfram; Schmidt, Wolfgang M. - 2006
When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one … problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes …
Persistent link: https://www.econbiz.de/10011293935
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Libor Market Model with Regime-Switching Volatility
Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...
Persistent link: https://www.econbiz.de/10005858810