Similar Search Results

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

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

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

Trader positions in VIX futures

Chen, Yu-Lun; Yang, J. Jimmy - In: Journal of empirical finance 61 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012693151

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

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

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

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

Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market

Xu, Ke; Chen, Yu-Lun; Yang, J. Jimmy - In: International review of financial analysis 90 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014470359