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Modelling the implied probability of stock market movements

Glatzer, Ernst - 2003

Persistent link: https://www.econbiz.de/10013434536

Modelling the implied probability of stock market movements

Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003

Persistent link: https://www.econbiz.de/10001749468

Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008

Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180

Persistent link: https://www.econbiz.de/10009614494

Study on the systemic risk of China's stock markets under risk-neutral conditions

Dai, Shibo; Li, Handong - In: Journal of mathematical finance 9 (2019) 1, pp. 54-79

Persistent link: https://www.econbiz.de/10012116669

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

Persistent link: https://www.econbiz.de/10011376746

Pricing a bivariate option with copulas

Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10012253407

Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index

Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10012432624

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …

Persistent link: https://www.econbiz.de/10012650140

Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies

Brière, Marie; Chancari, Kamal - In: Revue d'économie politique 114 (2004) 4, pp. 527-555

Persistent link: https://www.econbiz.de/10002233749

Schätzung erwarteter Aktienrenditen auf Basis von Fremdkapitalmärkten

Berg, Tobias; Willershausen, Timo - In: Kredit und Kapital 38 (2005) 3, pp. 435-465

Persistent link: https://www.econbiz.de/10003162848