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Information content of derivatives under varying market conditions and moneyness : the case of S&P CNX Nifty Index options

Pathak, Rajesh; Bhattacharjee, Kaushik; Reddy, Nagi - In: Global business review 16 (2015) 2, pp. 281-302

Persistent link: https://www.econbiz.de/10011408718

The incremental information content of innovations in implied idiosyncratic volatility

Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44

Persistent link: https://www.econbiz.de/10011579946

Testing the informativeness of non-price variables with MIDAS touch

Kotyan, Avinash; Mallikarjunappa, T. - In: IIMB management review 32 (2020) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10012489685

Forward variance dynamics : Bergomi's model revisited

Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107

Persistent link: https://www.econbiz.de/10010351856

Implications for hedging of the choice of driving process for one-factor Markov-functional models

Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51

Persistent link: https://www.econbiz.de/10009783994

Modelling the bid and ask prices of illiquid CDSs

Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37

Persistent link: https://www.econbiz.de/10009672590

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Persistent link: https://www.econbiz.de/10012040065

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

Persistent link: https://www.econbiz.de/10011975602

Why do banks use credit default swaps (CDS)? : a systematic review

Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231

Persistent link: https://www.econbiz.de/10014474357

Managerial tone and investors' hedging activities : evidence from credit default swaps

Liang, Peng; Hu, Nan; Liu, Ling; Zhang, Ting - In: Accounting and finance 63 (2023) 4, pp. 3971-3998

Persistent link: https://www.econbiz.de/10014476935