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Modeling the non‐linear behaviour of option price deviations from the Black Scholes model

Gregoriou, Andros - In: Journal of Economic Studies 37 (2010) 1, pp. 26-35

Purpose – The purpose of this paper is to test for and model non‐linearities in option price deviations from the Black Scholes (BS) model in FTSE 100 index options over the time period 1997‐2006. Design/methodology/approach – The economic specification and estimation methodology is...

Persistent link: https://www.econbiz.de/10014863232

Modeling the non-linear behaviour of option price deviations from the Black Scholes model

Gregoriou, Andros; Bose, Niloy; Haque, M. Emranul - In: Journal of Economic Studies 37 (2010) January, pp. 26-35

Purpose – The purpose of this paper is to test for and model non-linearities in option price deviations from the Black Scholes (BS) model in FTSE 100 index options over the time period 1997-2006. Design/methodology/approach – The economic specification and estimation methodology is outlined,...

Persistent link: https://www.econbiz.de/10008675243

Peaks and valleys : Price discovery in experimental asset markets with non‐monotonic fundamentals

Noussair, Charles N.; Powell, Owen - In: Journal of Economic Studies 37 (2010) 2, pp. 152-180

Purpose – This paper aims to study how the trajectory of fundamental values affects price discovery in an experimental asset market. Design/methodology/approach – An experiment is conducted with two treatments, in which the time path of fundamentals differs between treatments. In the peak...

Persistent link: https://www.econbiz.de/10014863237

Asset prices and monetary policy in Kenya

Nyakerario Misati, Roseline; Morekwa Nyamongo, Esman - In: Journal of Economic Studies 39 (2012) 4, pp. 451-468

Purpose – The purpose of this paper is to investigate the effectiveness of asset price channel in monetary policy transmission and the effect of stock market volatility on monetary policy in Kenya. Design/methodology/approach – Empirical analysis is based on quantitative analysis which...

Persistent link: https://www.econbiz.de/10014863335

Asset prices and monetary policy in Kenya

Misati, Roseline Nyakerario; Nyamongo, Esman Morekwa - In: Journal of Economic Studies 39 (2012) 4, pp. 451-468

Persistent link: https://www.econbiz.de/10010616635

Peaks and valleys: Price discovery in experimental asset markets with non-monotonic fundamentals

Noussair, Charles N.; Powell, Owen - In: Journal of Economic Studies 37 (2010) May, pp. 152-180

Persistent link: https://www.econbiz.de/10008675232

Real estate market factors and foreign real estate investment

Fereidouni, Hassan Gholipour; Masron, Tajul Ariffin - In: Journal of Economic Studies 40 (2013) 4, pp. 448-468

higher property prices. Interestingly, when the paper splits the sample in developed countries and emerging market economies …

Persistent link: https://www.econbiz.de/10010814550

Real estate market factors and foreign real estate investment

Gholipour Fereidouni, Hassan; Ariffin Masron, Tajul - In: Journal of Economic Studies 40 (2013) 4, pp. 448-468

higher property prices. Interestingly, when the paper splits the sample in developed countries and emerging market economies …

Persistent link: https://www.econbiz.de/10014864224

Inequality and size of government: evidence from Brazilian states

Mattos, Enlinson; Rocha, Fabiana - In: Journal of Economic Studies 35 (2008) July, pp. 333-351

Purpose – This paper seeks to investigate the role of income-inequality on the size of local government. Design … in-kind transfers from the local governments. Second, it estimates the determinants of the size in local government … size of the government presenting the results for Brazil. …

Persistent link: https://www.econbiz.de/10004977789

Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique

Hatemi-J, Abdulnasser; Irandoust, Manuchehr - In: Journal of Economic Studies 39 (2012) 3, pp. 368-378

is a positive link between government size and external risk as governments perform a risk mitigating role to insure … lower tax rates and lead to smaller government due to increased international factor mobility which undermines the ability … relationship between government size and terms-of-trade volatility by applying multivariate hidden cointegration analysis. Findings …

Persistent link: https://www.econbiz.de/10010814562