A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Year of publication: |
2024
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Authors: | Ballestra, Luca Vincenzo ; D'Innocenzo, Enzo ; Guizzardi, Andrea |
Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 314.2024, 3 (1.5.), p. 1185-1194
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Subject: | Asset price | Finance | GARCH | Interest rate | Option pricing | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Zins | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | CAPM | Zinsderivat | Interest rate derivative |
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