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Time disparity and price discovery : the effect of the U.S. futures on Korean gold market
Baek, Jae-Seung; Kim, Jihun; Yeom, Myeonghoon - In: Global business and finance review 23 (2018) 2, pp. 82
Persistent link: https://www.econbiz.de/10011896976
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The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns
Hu, Guanglian - 2019
primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …
Persistent link: https://www.econbiz.de/10012862697
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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The price of higher order catastrophe insurance : the case of VIX options
Eraker, Bjørn; Yang, Aoxiang - In: The journal of finance : the journal of the American … 77 (2022) 6, pp. 3289-3337
Persistent link: https://www.econbiz.de/10013464255
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Do stock market fear and economic policy uncertainty co-move with COVID-19 fear? : evidence from the US and UK
Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot Mindaye - In: Studies in economics and finance 40 (2023) 1, pp. 192-212
Persistent link: https://www.econbiz.de/10013503892
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Energy prices and their impact on US stock indices : a wavelet- based quantile-on-quantile regression approach
Ahmad Monir Abdullah; Aini Aman - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 216-234
Persistent link: https://www.econbiz.de/10014533190
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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The excess sensitivity of long-term interest rates and central bank credibility
Park, Kwangyong - 2020
Persistent link: https://www.econbiz.de/10012548641
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Central bank actions and words : the intraday effects of FOMC policy communications on individual equity volatility and returns
Jubinski, Daniel; Tomljanovich, Marc - In: The financial review : the official publication of the … 52 (2017) 4, pp. 701-724
Persistent link: https://www.econbiz.de/10011771291