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Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
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The behaviour of energy-related volatility indices around scheduled news announcements : implications for variance swap investments
López, Raquel - In: Energy economics 72 (2018), pp. 356-364
Persistent link: https://www.econbiz.de/10011972340
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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
Swishchuk, Anatoliy V. - 2009
) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and … residual risk associated with the swap pricing …
Persistent link: https://www.econbiz.de/10014207748
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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.; Zerilli, Paola - 2014
Persistent link: https://www.econbiz.de/10011293875
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Risk factors and their associated risk premia : an empirical analysis of the crude oil market
Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63
Persistent link: https://www.econbiz.de/10011966706
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Forecasting international stock market variances
Bekaert, Geert; Xu, Nancy; Ye, Tiange - 2024
Persistent link: https://www.econbiz.de/10014536734
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Bitcoin, VIX futures and CDS : a triangle for hedging the international equity portfolios
Zghal, Rania; Ghorbel, Ahmed - In: International journal of emerging markets 17 (2022) 1, pp. 71-97
Persistent link: https://www.econbiz.de/10012886357
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Calendar anomalies in cash and stock index futures : international evidence
Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223
Persistent link: https://www.econbiz.de/10010417707
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On the right jump tail inferred from the VIX market
Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014248409