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Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets : a hedging perspective
Coskun, Merve - In: The journal of futures markets 43 (2023) 12, pp. 1727-1749
Persistent link: https://www.econbiz.de/10014433002
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Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
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Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
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Cross-border and cross-commodity volatility spillover effects of Chinese soybean futures
Qin, Sisi; Lau, Wee-Yeap - In: The journal of futures markets 43 (2023) 12, pp. 1836-1852
Persistent link: https://www.econbiz.de/10014433015
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Realized higher-order moments spillovers across cryptocurrencies
Apergēs, Nikolaos - In: Journal of international financial markets, … 85 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014433236
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How does the Russian-Ukrainian war change connectedness and hedging opportunities? : comparison between dirty and clean energy markets versus global stock indices
Karkowska, Renata; Urjasz, Szczepan - In: Journal of international financial markets, … 85 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014433239
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A multifractal model of asset (in)variances
Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014433281
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International stock volatility predictability : new evidence from uncertainties
Wang, Jiqian; Ma, Feng; Wang, Tianyang; Wu, Lan - In: Journal of international financial markets, … 85 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014433290