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Market Expectations and Option Prices : Techniques and Applications

Mandler, Martin - 2003

represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in …

Persistent link: https://www.econbiz.de/10013519008

Does the US stock market information matter for European equity market volatility : a multivariate perspective?

Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743

Persistent link: https://www.econbiz.de/10013494246

Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets

Kräussl, Roman; Canto, Bea - 2023

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...

Persistent link: https://www.econbiz.de/10014352510

Dynamic connectedness between investors' sentiment and asset prices : a comparison between major markets in Europe and USA

Sakariyahu, Rilwan; Johan, Sofia Atiqah; Lawal, Rodiat; … - In: Journal of international financial markets, … 89 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014490069

Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks : asymmetric analyses of the EU sectors

Bossman, Ahmed; Gubareva, Mariya; Teplova, Tamara V. - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 321-372

Persistent link: https://www.econbiz.de/10014451975

The impact of ECB’s unconventional monetary policy on the German Stock Market volatility

Alipanah, Sabri; Kiss, Gábor Dávid - In: Zagreb international review of economics & business 25 (2022), pp. 17-29

Persistent link: https://www.econbiz.de/10014228125

Interplay of crises : unpacking intraday spillovers in oil and European equities in the shadow of the COVID-19 and the Ukraine-Russia war

Alshater, Muneer Maher; Hanif, Waqas; El Khoury, Rim; … - In: Borsa Istanbul Review 24 (2024) 4, pp. 747-771

This study investigates the time-varying frequency of spillovers between European stock markets and oil during the COVID-19 pandemic and the Russia-Ukraine war. Using the spillover index by Diebold & Yilmaz, 2012 and Baruník & Křehlík, 2018, we analyze high-frequency data at a 5-min interval...

Persistent link: https://www.econbiz.de/10014635385

Das Phänomen der Volatilität : die Beurteilung der Informationseffizienz des europäischen Optionsmarktes

Bertsch, Marina - 2008

Persistent link: https://www.econbiz.de/10013432207

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10011471074

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX … one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

Persistent link: https://www.econbiz.de/10012174118