Similar Search Results

The effects of randomizing the opening time on the performance of a stock market under stress

Hauser, Shmuel; Kamara, Avraham; Shurki, Itzik - In: Journal of financial markets 15 (2012) 4, pp. 392-415

Persistent link: https://www.econbiz.de/10009655269

Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models

Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280

Persistent link: https://www.econbiz.de/10012486492

Stochastic volatility models for the implied correlation index : evidence, properties and pricing

Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438998

Expiration day effects of stock and index futures on the Warsaw Stock Exchange

Suliga, Milena; Wójtowicz, Tomasz - In: Bank i kredyt 50 (2019) 1, pp. 45-82

Persistent link: https://www.econbiz.de/10012502760

Market uncertainty, expected volatility and the mispricing of S&P 500 index futures

Tu, Anthony H.; Hsieh, Wen-Liang G.; Wu, Wei-Shao - In: Journal of empirical finance 35 (2016), pp. 78-98

Persistent link: https://www.econbiz.de/10011662722

The relative pricing of European dividend futures and their predictive abilities for index returns

Stotz, Olaf - In: The European journal of finance 22 (2016) 13/15, pp. 1484-1506

Persistent link: https://www.econbiz.de/10011715480

Stock futures of a flawed market index

Kotaro, Miwa - In: Asia-Pacific financial markets 26 (2019) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012307991

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

Persistent link: https://www.econbiz.de/10012292347

The long-term performance of index additions and deletions : evidence from the Hang Seng Index

Kot, Hung Wan; Leung, Harry K. M.; Tang, Gordon Y. N. - In: International review of financial analysis 42 (2015), pp. 407-420

Persistent link: https://www.econbiz.de/10011573583

Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114

Persistent link: https://www.econbiz.de/10011623719

A service of the

zbw