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Pricing FTSE 100 index options under stochastic volatility
Lin, Yueh-neng; Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 21 (2001) 3, pp. 197-211
Persistent link: https://www.econbiz.de/10001556705
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Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563
Persistent link: https://www.econbiz.de/10002233147
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The incremental volatility information in one million foreign exchange quotations
Taylor, Stephen - In: Journal of empirical finance 4 (1997) 4, pp. 317-340
Persistent link: https://www.econbiz.de/10001236462
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Conditional volatility and the informational efficiency of the PHLX currency options market
Xu, Xinzhong - In: Journal of banking & finance 19 (1995) 5, pp. 803-821
Persistent link: https://www.econbiz.de/10001185510
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Stock price volatility and equity premium
Brennan, Michael J.; Xia, Yihong - In: Journal of monetary economics 47 (2001) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10001577726
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What makes hot money hot? : The relative volatility of international flows of debt and equity capital
Brennan, Michael J.; Aranda, Carmen - In: Review of Pacific Basin financial markets and policies 2 (1999) 4, pp. 427-451
Persistent link: https://www.econbiz.de/10001474772
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The effect of derivative assets in information acquisition and price behavior in a rational expectations equilibrium
Cao, H. Henry - In: The review of financial studies 12 (1999) 1, pp. 131-163
Persistent link: https://www.econbiz.de/10001353475