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Tran, Dung Viet - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-21

Relying on a US bank sample, we document the double-edged sword of dividends on the bank's riskiness. Paying dividends … exposes banks to stricter market discipline, then decreases the risk-taking behaviors of bank management compared with non …-payers, consistent with the Dividend-Stability Channel. However, among banks that pay dividends, excessive dividends makes them riskier …

Persistent link: https://www.econbiz.de/10014001425

A Journey from The Vague to The Precise': Using Faff's (2015) Pitching Research Framework for Conveying Our Research Ideas with A Professional Flair

Mohan, Ritu - In: Journal of Accounting and Management Information … 17 (2018) 4, pp. 693-703

This paper explores the personal experience of using the Research pitch template, developed by Faff (2015, 2018), to develop a raw research idea of a novice researcher into a finished pitch, to share with and present to the expert, supervisor(s) for further discussion and guidance on the...

Persistent link: https://www.econbiz.de/10015196032

Pricing vanilla options using artificial neural networks: Application to the South African market

Du Plooy, Ryno; Venter, Pierre J. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-15

In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model....

Persistent link: https://www.econbiz.de/10014001524

Forecasting the direction of daily changes in the India VIX index using machine learning

Prasad, Akhilesh; Bakhshi, Priti - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-26

Movements in the India VIX are an important gauge of how the market's risk perception shifts from day to day. This …-to-day movements of the India VIX because of their inherently optimised structure. This finding is very useful for anticipating risk in …

Persistent link: https://www.econbiz.de/10014332708

Newton-Raphson emulation network for highly efficient computation of numerous implied volatilities

Lee, Geon; Kim, Tae-Kyoung; Kim, Hyun-Gyoon; Huh, Jeonggyu - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-8

In finance, implied volatility is an important indicator that reflects the market situation immediately. Many practitioners estimate volatility by using iteration methods, such as the Newton-Raphson (NR) method. However, if numerous implied volatilities must be computed frequently, the iteration...

Persistent link: https://www.econbiz.de/10014332772

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

factors representing shift and curvature of the term structure of at the money DAX options. We present a risk management tool …

Persistent link: https://www.econbiz.de/10010310239

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger; Mittnik, Stefan - 2002

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...

Persistent link: https://www.econbiz.de/10010317419

The Pricing of Derivatives on Assets with Quadratic Volatility

Zühlsdorff, Christian - 2002

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

Persistent link: https://www.econbiz.de/10010317656

The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis

Pierdzioch, Christian - 2000

The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of...

Persistent link: https://www.econbiz.de/10010260625

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10010274129