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Investor attention and FX market volatility

Goddard, John; Kita, Arben; Wang, Qingwei - In: Journal of international financial markets, … 38 (2015), pp. 79-96

Persistent link: https://www.econbiz.de/10011475168

Option pricing with non-Gaussian scaling and infinite-state switching volatility

Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497

Persistent link: https://www.econbiz.de/10011499748

Price discovery in the volatility index option market : a univariate GARCH approach

Venter, Pierre J; Maré, Eben - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494881

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194

Persistent link: https://www.econbiz.de/10014456945

Price discovery in the cryptocurrency option market : a univariate GARCH approach

Venter, Pierre J.; Maré, Eben; Pindza, Edson - In: Cogent economics & finance 8 (2020) 1, pp. 1-9

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models … effects into account. Furthermore, the accuracy of the GARCH option pricing model applied to Bitcoin is tested. Empirical … consistent with findings in the literature. In addition, the GARCH option pricing model provides realistic price discovery within …

Persistent link: https://www.econbiz.de/10013179502

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522

A Data-Reconstructed Fractional Volatility Model

Mendes, Rui Vilela; Oliveira, Maria J. - 2008

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data....

Persistent link: https://www.econbiz.de/10010295279

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer; Veith, Jochen - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...

Persistent link: https://www.econbiz.de/10010301798

Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012940057

Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...

Persistent link: https://www.econbiz.de/10014023860