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Information content of implied probability distributions : empirical studies of Japanese stock price index options
Shiratsuka, Shigenori - In: Monetary and economic studies 19 (2001) 3, pp. 143-170
Persistent link: https://www.econbiz.de/10001628696
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Information content of implied probability distributions : empirical studies on Japanese stock price index options
Shiratsuka, Shigenori - 2001
Persistent link: https://www.econbiz.de/10001547687
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Contingent convertible bonds with floating coupon payments : fixing the equilibrium problem
Vullings, Danie͏̈l - 2016
Persistent link: https://www.econbiz.de/10011518958
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Contingent Convertible Bonds with Floating Coupon Payments : Fixing the Equilibrium Problem
Vullings, Daniël - 2016
Contingent convertible bonds (CoCos) are increasingly popular financial instruments used by banks to satisfy capital requirements. CoCos with market-based conversion triggers in particular receive much attention in the literature. The pricing of CoCos with such a market trigger is problematic as...
Persistent link: https://www.econbiz.de/10012985558
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The impact of skew on the pricing of CoCo bonds
De Spiegeleer, Jan; Forys, Monika B.; Marquet, Ine; … - In: International journal of financial engineering 4 (2017) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011673124
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Stock markets linkages before, during and after subprimes crisis : bivariate BEKK GARCH (1, 1) and DCC models
Abdelkefi, Samar Zlitni; Khoufi, Walid - In: International journal of economics, finance and … 3 (2015) 3, pp. 213-230
Persistent link: https://www.econbiz.de/10011389712
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Four essays on the empirical properties of stock market volatility
Masset, Philippe - 2012
Persistent link: https://www.econbiz.de/10009697323
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337