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Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity mode...
Xu, Rong; Li, Xingye - In: International journal of economics and financial issues … 7 (2017) 6, pp. 104-110
Persistent link: https://www.econbiz.de/10011948261
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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Revisiting the financial volatility : derivative products relationship on Euronext.liffe using a frequency domain analysis
Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Brussels economic review 56 (2013) 3/4, pp. 349-364
Persistent link: https://www.econbiz.de/10010400880
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On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Padhi, Puja; Shaikh, Imlak - In: Journal of business economics and management 15 (2014) 5, pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
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Structural simultaneous volatility systems : volatility transmission and spillover effects
Gannon, Gerard L. - 1997
Persistent link: https://www.econbiz.de/10000964264
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Options on stock indexes : a comparison of the black-scholes option pricing formula and an autogregressive model
Halpern, Marc - 1985
Persistent link: https://www.econbiz.de/10000834665
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The time series properties of implied volatility of S&P100 index options
Diz, Fernando; Finucane, Thomas J. - 1991
Persistent link: https://www.econbiz.de/10000839718
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A threshold error-correction model for intraday futures and index returns
Martens, Martin - In: Journal of applied econometrics 13 (1998) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10001244202
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A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474
Persistent link: https://www.econbiz.de/10001169791
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A time series test of calendar seasonalities in the S & P 500 index since the introduction of index derivative securities
Cyr, Don J. - In: The journal of futures markets 14 (1994) 5, pp. 511-529
Persistent link: https://www.econbiz.de/10001169818