The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

This study provides evidence on the common determinants for two prominent features of equity market volatility: its persistence over time and its asymmetric dependence on past returns. We show that daily volatility persistence increases with current returns, especially negative returns. It...

We investigate the association between the stock return distributions of 10 major U.S. sectors and oil returns within a double-threshold FIGARCH model. This model nests GARCH, IGARCH and Fama-French specifications as its special cases and allows a test of their validity. This model also has the...

The price of equity equals the risk-adjusted present discounted value of cash-flows. Discount factors depend upon the short rate process. As such, a link exists between bond and equity returns. This link implies a relationship between volatilities and the stock-bond correlation. I show that the...

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock Exchange (TSE). ARMA- ARCH type models including two symmetric conditional hetroscedastic models; ARMA (1, 1) - ARCH (1) and ARMA (1, 1) - GARCH (1, 1) and two asymmetric...

The news impact curve of EGARCH captures the asymmetric impact of negative news on volatility. It also captures the impact of large shocks, negative and positive. The interpretation of the curve is complicated by its composition, making it difficult to interpret its coefficients and the...

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility...

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...