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Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets

Chng, Michael; Gannon, Gerard L. - In: International review of financial analysis 12 (2003) 1, pp. 49-68

Persistent link: https://www.econbiz.de/10001769954

Futures expiration day effects on spot market volatility : evidence from the NSE

Sakthivel, P.; Kamaiah, Bandi - In: The Asian economic review : journal of the Indian … 50 (2008) 3, pp. 571-585

Persistent link: https://www.econbiz.de/10003836302

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

Effect of return and volatility calculation on option pricing : an analysis using BANKNIFTY

Ahmad, Akhlaque - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 103-110

Persistent link: https://www.econbiz.de/10011420532

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

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

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

The impact of financial derivatives on financial market stability : evidence from DAX stock index futures trading using GARCH

Matanovic, Eva - 2010

Persistent link: https://www.econbiz.de/10008936038

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

Hilbert-Huang Based Volatility Forecasts for High Frequency Data and Simulated Option Markets

Drummond, Carson - 2014

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the … Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure … trading market in which competing volatility forecasts buy and sell straddle options to one another using real high frequency …

Persistent link: https://www.econbiz.de/10013048942