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This note provides some evidence of the sensitivity of firm survival duration dependence to time aggregation, when durations are Weibull distributed. The results indicate that estimates of duration dependence are always positively biased: This bias increases with the width of time aggregation...
Persistent link: https://www.econbiz.de/10012775607
Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the calendar effects. In this paper, we present a method for...
Persistent link: https://www.econbiz.de/10012776432
This study examines the spillover effects in international financial markets with respect to implied volatility indices. The use of the latter as the basis of integration analysis means that we test market participants’ expectations and not the actual price fluctuations. The empirical...
Persistent link: https://www.econbiz.de/10010989552
In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...
Persistent link: https://www.econbiz.de/10011039288
Persistent link: https://www.econbiz.de/10010011635
The FTSE 100 Volatility Index (VFTSE) reflects the market expectations of the future monthly volatility of the UK benchmark equity index, FTSE100. VFTSE is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...
Persistent link: https://www.econbiz.de/10012715600
In this paper a new measure of Greek stock market volatility based on the prices of FTSE/ATHEX-20 index options is proposed. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...
Persistent link: https://www.econbiz.de/10012715601
Persistent link: https://www.econbiz.de/10006849897
The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the Feed Forward Neural Network trained with the efficient Levenberg -...
Persistent link: https://www.econbiz.de/10005000569
Persistent link: https://www.econbiz.de/10005345445