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Optionsbewertung bei stochastischer Volatilität
Nagel, Hartmut - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001530489
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Three essays on the econometrics of options markets
Lazarov, Zdravetz N. - 2004
Persistent link: https://www.econbiz.de/10002613885
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On the Reverse U-Shaped Intraday Pattern of Volume and Volatility : Evidence from CSI 300 Index Futures Market
Chen, Zhijuan - 2014
In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a … reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index … measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which …
Persistent link: https://www.econbiz.de/10013059983
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
Persistent link: https://www.econbiz.de/10001583865
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …
Persistent link: https://www.econbiz.de/10009724429
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How Index Futures and ETFs Affect Stock Return Correlations
Leippold, Markus - 2016
We examine both theoretically and empirically whether increased trading activity in index futures and exchange traded funds (ETFs) is associated with higher equity return correlations. Our model predicts that demand shocks to ETFs and futures lead to stronger price comovement for index stocks...
Persistent link: https://www.econbiz.de/10013004525
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Effectiveness of a Time-Varying Hedge Ratio : Evidence from NSE Stock Index Returns
Rajhans, Rajni Kant - 2015
There is no dearth of research in the area of Optimal Hedge Ratio estimation. The general consent goes towards use of Multivariate Generalized Autoregressive Conditionally Heteroscedastic (MGARCH) model because of superior outcomes having low portfolio volatilities over other models (like: OLS...
Persistent link: https://www.econbiz.de/10013035194