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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.

Fouque, Jean-Pierre - 2011

Cover -- MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES -- Title -- Copyright -- To … -- 2 Introduction to Stochastic Volatility Models -- 2.1 Implied Volatility Surface -- 2.2 Local Volatility -- 2 ….3 Stochastic Volatility Models -- 2.4 Derivative Pricing -- 2.5 General Results on Stochastic Volatility Models -- 2.6 Summary and …

Persistent link: https://www.econbiz.de/10012689458

Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices

Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670

Persistent link: https://www.econbiz.de/10015050635

Monetary policy in emerging markets under global uncertainty

Hernández, Juan R.; Hoyos, Mateo; … - 2024

Persistent link: https://www.econbiz.de/10015050697

Sentiment and energy price volatility : a nonlinear high frequency analysis

Jawadi, Fredj; Bourghelle, David; Rozin, Philippe; … - In: Energy economics 133 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015048288

Fertility and the oil curse

Kim, Dong-Hyeon; Lin, Shu-Chin - In: Empirical economics : a quarterly journal of the … 67 (2024) 2, pp. 381-416

Persistent link: https://www.econbiz.de/10015048751

Do CFA charterholders make better hedge fund managers?

Zheng, Yao; Osmer, Eric - 2024

Persistent link: https://www.econbiz.de/10015047709

Comparisons between the Markowitz model and the Black-Litterman model

Teng, Huei-Wen - 2024

Persistent link: https://www.econbiz.de/10015047743

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

attributed to commodity price volatility in developed and developing countries, with the uncertainty effect being more …

Persistent link: https://www.econbiz.de/10015047800

Global oil price and stock markets in oil exporting and European countries : evidence during the Covid-19 and the Russia-Ukraine war

Olayungbo, David Oluseun; Župarova, A. S.; Al-Faryan, … - In: Research in globalization 8 (2024), pp. 1-14

-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice … versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 … respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil …

Persistent link: https://www.econbiz.de/10015047816

Foreign investors and stocks' volatility : evidence from COVID-19

Batra, Shallu; Yadav, Mahender; Saini, Mohit - In: International journal of social economics 51 (2024) 4, pp. 485-499

Persistent link: https://www.econbiz.de/10015048421