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A Panel Cointegration Analysis of the Dynamics of FX Option Implied Volatility Surface

Suenaga, Hiroaki - 2015

Implied volatility surface has been studied extensively for various option markets including equities, foreign currencies, and commodities. Previous studies report that option implied volatility varies across moneyness, maturity, and time, yet, once the level is controlled for, the shape of the...

Persistent link: https://www.econbiz.de/10013029052

Understanding the equilibrium dynamics of European broadband diffusion

Suenaga, Hiroaki; Madden, Gary - In: Applied economics 50 (2018) 60, pp. 6553-6568

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The nonlinear multidimensional relationship between stock returns and the macroeconomy

Chen, Pian; Smith, Aaron D. - In: Applied economics 45 (2013) 34/36, pp. 4985-4999

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Efficiency of the California electricity reserves market

Metaxoglou, Konstantinos; Smith, Aaron D. - In: Journal of applied econometrics 22 (2007) 6, pp. 1127-1144

Persistent link: https://www.econbiz.de/10003565290

Grouped coefficients to reduce bias in heterogeneous dynamic panel models with small T

Hendricks, Nathan P.; Smith, Aaron D. - In: Applied economics 47 (2015) 40/42, pp. 4335-4348

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What are the benefits of high-frequency data for fixed effects panel models?

Ghanem, Dalia; Smith, Aaron D. - In: Journal of the Association of Environmental and … 8 (2021) 2, pp. 199-234

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