Similar Search Results

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Global financial crises and time-varying volatility comovement in world equity markets

Duncan, Andrew S.; Kabundi, Alain - In: The South African journal of economics 82 (2014) 4, pp. 531-550

Persistent link: https://www.econbiz.de/10010502128

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

Persistent link: https://www.econbiz.de/10011412294

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model

Kim, Jaehong; Seo, Byeongseon - In: Journal of economic research 24 (2019) 2, pp. 129-155

Persistent link: https://www.econbiz.de/10012127261

On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe

Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183

Persistent link: https://www.econbiz.de/10012264953

Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme volatility

Chukiat Chaiboonsri; Prasert Chaitip - In: International journal of trade and global markets 10 (2017) 1, pp. 123-130

Persistent link: https://www.econbiz.de/10011722940

Business cycles, financial crises, and stock volatility in Jordan stock exchange

Al-Rjoub, Samer - In: International journal of economic perspectives : IJEP 5 (2011) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10011587452

Fundamental driver of fund style drift

Galloppo, Giuseppe; Trovato, Giovanni - In: The journal of asset management 18 (2017) 2, pp. 99-123

Persistent link: https://www.econbiz.de/10011694987