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GARCH option pricing with volatility derivatives

Oh, Dong Hwan; Park, Yang-Ho - In: Journal of banking & finance 146 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014248216

Empirical option pricing models

Bates, David S. - In: Annual review of financial economics 14 (2022), pp. 369-389

Persistent link: https://www.econbiz.de/10013461154

The impact of financial speculation on futures contracts price movements : a study of the US markets for dairy commodities

Staugaitis, Algirdas Justinas; Christauskas, Česlovas - In: Equilibrium : quarterly journal of economics and … 18 (2023) 3, pp. 661-686

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Impact of the religious festivity on the Tunis stock exchange

Chaouachi, Olfa - In: Investment management and financial innovations 18 (2021) 2, pp. 12-19

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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market

Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119

Persistent link: https://www.econbiz.de/10009563064

Copula-based vMEM specifications versus alternatives : the case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …

Persistent link: https://www.econbiz.de/10011654447

The dynamics of trading duration, volume and price volatility : a vector MEM model

Xu, Yongdeng (contributor) - 2013

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

Persistent link: https://www.econbiz.de/10009738886

A reverse index futures split effect on liquidity and market dynamics

Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252

Persistent link: https://www.econbiz.de/10011875992

Google search volume sentiment and its impact on REIT market movements

Braun, Nicole - In: Journal of property investment & finance 34 (2016) 3, pp. 249-262

Persistent link: https://www.econbiz.de/10011489434

Volume decomposition and volatility in dual-listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 301-310

Persistent link: https://www.econbiz.de/10012581634