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Concentration and liquidity costs in emerging commodity exchanges

Costa Jr, Geraldo; Trujillo-Barrera, Andres; Pennings, … - In: Journal of agricultural and resource economics : JARE ; … 43 (2018) 3, pp. 441-456

Persistent link: https://www.econbiz.de/10011960984

Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain

Mihov, Atanas; Naranjo, Andy - In: Journal of empirical finance 40 (2017), pp. 73-100

Persistent link: https://www.econbiz.de/10011744438

Effect of index concentration on index volatility and performance

Pandey, Amit; Sharma, Anil Kumar - In: Asia Pacific financial markets 30 (2023) 3, pp. 559-585

Persistent link: https://www.econbiz.de/10014362642

Financial market volatility : does banking concentration play a role?

Zeeshan, Mohammad - In: Finance research letters 68 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015063312

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10003715073

Numerics of implied binomial trees

Härdle, Wolfgang (contributor); … - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...