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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10010472845

Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models

Dias, Gustavo Fruet; Kapetanios, George - 2014

Persistent link: https://www.econbiz.de/10010419000

Forecasting under structural change

Giraitis, Liudas; Kapetanios, George; Mansur, Mohaimen; … - In: Empirical economic and financial research : theory, …, (pp. 401-419). 2015

Persistent link: https://www.econbiz.de/10010490087

Factor based identification-robust inference in IV regressions

Kapetanios, George; Khalaf, Lynda; Marcellino, Massimiliano - 2015

Persistent link: https://www.econbiz.de/10010495478

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2014

Persistent link: https://www.econbiz.de/10010411466

A nonlinear panel data model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010

Persistent link: https://www.econbiz.de/10008748459

Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model

Kapetanios, George; Shin, Yongcheol - In: Econometric reviews 30 (2011) 6, pp. 620-645

Persistent link: https://www.econbiz.de/10009269801

Adaptive forcasting in the presence of recent and ongoing structural change

Giraitis, Liudas; Kapetanios, George; Price, Simon - 2012

Persistent link: https://www.econbiz.de/10009561176

Forecasting in the presence of recent structural change

Eklund, Jana; Kapetanios, George; Price, Simon - 2011

Persistent link: https://www.econbiz.de/10009405772

Parametric vs. semiparametric long memory : comments on "Prediction from ARFIMA models : Comparison between MLE and semiparametric estimation"

Arteche, Josu - In: International journal of forecasting 28 (2012) 1, pp. 54-56

Persistent link: https://www.econbiz.de/10009581402

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