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Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility
Wang, Ke; Guo, Xunxiang - In: Computational economics 63 (2024) 4, pp. 1543-1573
Persistent link: https://www.econbiz.de/10014549124
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Tobin tax, carry trade, and the exchange rate dynamics
Li, Xiaoping; Zhou, Chunyang - In: Computational economics 63 (2024) 4, pp. 1627-1647
Persistent link: https://www.econbiz.de/10014549140
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Heterogeneity effect of positive and negative jumps on the realized volatility : evidence from China
Song, Yuping; Huang, Jiefei; Zhang, Qichao; Xu, Yang - In: Economic modelling 136 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014549152
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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The day-of-the-week effect on global stock market volatility after a market shock
Kang, Taehyeon; Cho, Eunyoung - In: Applied economics letters 31 (2024) 8, pp. 696-701
Persistent link: https://www.econbiz.de/10014557841
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Forecasting RMB exchange rate volatility : do time-varying higher moments and time-varying risk aversion help?
Wu, Xinyu; Mei, Xueting; Liu, Li - In: Applied economics letters 31 (2024) 8, pp. 757-767
Persistent link: https://www.econbiz.de/10014557859
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Banks' window-dressing of the G-SIB framework: causal evidence from a quantitative impact study
Naylor, Matthew; Corrias, Renzo; Welz, Peter - 2024
Persistent link: https://www.econbiz.de/10014557870
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The volatility of survey measures of culture and its consequences
Zanella, Giulio; Bellani, Marina M. - In: Economic inquiry 62 (2024) 2, pp. 675-697
Persistent link: https://www.econbiz.de/10014541509
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New evidence on crude oil market efficiency
Hu, Liang; Lee, Yoon-Jin - In: Economic inquiry 62 (2024) 2, pp. 892-916
Persistent link: https://www.econbiz.de/10014541524
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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …
Persistent link: https://www.econbiz.de/10014541628