Narrow search
Showing 1 - 10 of 1,045
Cover Image
The optimal corridor for implied volatility : from periods of calm to turmoil
Muzzioli, Silvia - In: Journal of economics & business 81 (2015), pp. 77-94
Persistent link: https://www.econbiz.de/10011476102
Cover Image
The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
Cover Image
Testing the predictive ability of corridor implied volatility under GARCH models
Lu, Shan - In: Asia-Pacific financial markets 26 (2019) 2, pp. 129-168
Persistent link: https://www.econbiz.de/10012308051
Cover Image
The information content of corridor volatility measures during calm and turmoil periods
Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Quantitative finance and economics 1 (2017) 4, pp. 454-473
Persistent link: https://www.econbiz.de/10012137889
Cover Image
Construction of a volatility index from exchange-traded dollar-rupee options
Bhat, Aparna Prasad - In: Journal of Indian business research 14 (2022) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10013537567
Cover Image
Assessing bettors' ability to process dynamic information : policy implications
Johnson, Johnnie E. V.; O'Brien, Raymond J.; Sung, … - In: Southern economic journal 76 (2010) 4, pp. 906-931
Persistent link: https://www.econbiz.de/10008701407
Cover Image
Option strategies : good deals and margin calls
Santa-Clara, Pedro; Saretto, Alessio - In: Journal of financial markets 12 (2009) 3, pp. 391-417
Persistent link: https://www.econbiz.de/10003873553
Cover Image
The relationship between implied and realized volatility: evidence from the Australian stock index option market
Li, Steven; Yang, Qianqian - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 405-419
Persistent link: https://www.econbiz.de/10003873809
Cover Image
Sources of return in the index futures markets
Zaremba, Adam - In: Contemporary economics 5 (2011) 2, pp. 54-71
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...
Persistent link: https://www.econbiz.de/10009244093
Cover Image
Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets
Srinivasan, Palamalai; Ibrahim, P. - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 65-80
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...
Persistent link: https://www.econbiz.de/10009717381