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Tran, Dung Viet - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-21

Relying on a US bank sample, we document the double-edged sword of dividends on the bank's riskiness. Paying dividends … exposes banks to stricter market discipline, then decreases the risk-taking behaviors of bank management compared with non …-payers, consistent with the Dividend-Stability Channel. However, among banks that pay dividends, excessive dividends makes them riskier …

Persistent link: https://www.econbiz.de/10014001425

Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...

Persistent link: https://www.econbiz.de/10011984997

Informational content of volatility forecasts in Eurodollar markets

Kim, Kwanho - In: Global Business & Finance Review (GBFR) 21 (2016) 2, pp. 86-99

Persistent link: https://www.econbiz.de/10012286610

Effect of liquidity on the implied volatility surface in interest rate options markets

Kim, Kwanho - In: Global Business & Finance Review (GBFR) 22 (2017) 3, pp. 45-60

Persistent link: https://www.econbiz.de/10012286633

Variance bounds test of volatility expectations in eurodollar futures options markets

Kim, Kwanho; Poonvoralak, Wantanee - In: Global Business & Finance Review (GBFR) 24 (2019) 2, pp. 20-32

Persistent link: https://www.econbiz.de/10012286676

Pricing options and computing implied volatilities using neural networks

Liu, Shuaiqiang; Oosterlee, Cornelis Willebrordus; … - In: Risks 7 (2019) 1, pp. 1-22

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an...

Persistent link: https://www.econbiz.de/10013200434

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Le Floc’h, Fabien; Oosterlee, Cornelis Willebrordus - In: Risks 7 (2019) 1, pp. 1-21

This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the different...

Persistent link: https://www.econbiz.de/10013200448

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks 7 (2019) 2, pp. 1-18

While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is … inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first …, we discuss that by imposing the no-moral-hazard risk, the removal of arbitrage is equivalent to removing the static …

Persistent link: https://www.econbiz.de/10013200463

The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus

Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-16

In this paper, we examine the impact of destination risk and currency valuation on the U.S. tourism-growth nexus using …

Persistent link: https://www.econbiz.de/10013201415

A Hausman test for partially linear models with an application to implied volatility surface

Jiang, Yixiao - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-12

This paper develops a test that helps assess whether the term structure of option implied volatility is constant across different levels of moneyness. The test is based on the Hausman principle of comparing two estimators, one that is efficient but not robust to the deviation being tested, and...

Persistent link: https://www.econbiz.de/10012611481

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