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Billings, Mary Brooke; Jennings, Robert H.; Lev, Baruch - In: Journal of accounting & economics 60 (2015) 2/3, pp. 161-180

Persistent link: https://www.econbiz.de/10011437528

Speculative capital flows, exchange rate volatility and monetary policy: South African experience

Hassan, Shakill - In: Contemporary issues in development economics, (pp. 136-162). 2016

Persistent link: https://www.econbiz.de/10011415400

Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010341118

Toward a rules-based international monetary system

Taylor, John B. - In: The Cato journal : an interdisciplinary journal of … 38 (2018) 2, pp. 347-359

Persistent link: https://www.econbiz.de/10011981437

Exit strategies from monetary expansion and financial repression

Schnabl, Gunther - In: The Cato journal : an interdisciplinary journal of … 38 (2018) 2, pp. 447-465

Persistent link: https://www.econbiz.de/10011981467

Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415

Tempered stable process, first passage time, and path-dependent option pricing

Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215

Persistent link: https://www.econbiz.de/10011993461

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models

Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248

Persistent link: https://www.econbiz.de/10011993464

Calibration of one-factor and two-factor Hull-White models using swaptions

Russo, Vincenzo; Torri, Gabriele - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 275-295

Persistent link: https://www.econbiz.de/10011993481

First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment

Saporito, Yuri F. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011889526

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