The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in Taiwan's...

Blockchain and cryptocurrencies have recently captured the interest of academics and those in industry. Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. The cryptocurrency market is currently...

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. Many institutions and countries are starting to understand and implement the idea of cryptocurrencies in their business models. With this recent...

This paper studies a repairable k-out-of-n:G system with failure dependencies, N-policy and repairman's multiple vacations. Whenever there are no broken components, the repairman leaves for a vacation which obeys a phase type distribution. Upon returning from his/her vacation, he/she takes...

This paper considers an k-out-of-n:G repairable system with repairman's single vacation and shut off rule where the working times and repair times of components follow exponential distributions, and the duration of the repairman's vacation is governed by a phase type distribution. Further,...