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61
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date (oldest first)
61
Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
prices, which translates into skew and smile patterns for implied
volatility
curves even under constant volatilities … the market. collateral requirements, funding costs,
volatility
smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Saved in:
62
On the relationship of ex-ante and ex-post
volatility
: a sub-period analysis of S&P CNX Nifty Index options
Shaikh, Imlak
;
Padhi, Puja
- In:
Journal of emerging market finance
14
(
2015
)
2
,
pp. 140-175
Persistent link: https://www.econbiz.de/10011378502
Saved in:
63
Forecasting stock market
volatility
and the informational efficiency of the DAX-index options market
Claessen, Holger
;
Mittnik, Stefan
-
2002
Alternative strategies for predicting stock market
volatility
are examined. In out-of-sample forecasting experiments … implied-
volatility
information, derived from contemporaneously observed option prices or history-based
volatility
predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return
volatility
…
Persistent link: https://www.econbiz.de/10009767118
Saved in:
64
The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei
;
Kunst, Robert M.
-
2001
examines how well exchange rate
volatility
explains movements in stock market returns. The model-based predictions are …
Persistent link: https://www.econbiz.de/10009724429
Saved in:
65
Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng
- In:
The empirical economics letters : a monthly …
14
(
2015
)
9
,
pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
Saved in:
66
Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Li, Shaoyu
;
Wei, Lijia
;
Huang, Zehua
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
4/6
,
pp. 1072-1091
Persistent link: https://www.econbiz.de/10011563272
Saved in:
67
Volatility
-related exchange trade assets : an econometric investigation
Meníca, Javier
;
Sentana, Enrique
-
2015
Persistent link: https://www.econbiz.de/10010509490
Saved in:
68
Non-linear principal component analysis of the implied
volatility
smile using a quantum-inspired evolutionary algorithm
Fan, Kai
;
O'Sullivan, Conall
;
Brabazon, Anthony
; …
- In:
Natural computing in computational finance ; [the …
,
(pp. 89-107)
.
2008
Persistent link: https://www.econbiz.de/10009515173
Saved in:
69
Volatility
-related exchange traded assets : an econometric investigation
Mencía, Javier
;
Sentana, Enrique
-
2015
Persistent link: https://www.econbiz.de/10011408299
Saved in:
70
Expectations hypothesis of the term structure of implied
volatility
: evidence from foreign currency and stock index options
Byoun, Soku
;
Kwok, Chuck C. Y.
;
Park, Hun Y.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 126-151
Persistent link: https://www.econbiz.de/10002221002
Saved in:
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