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Index futures and options and stock market volatility

Pericli, Andreas Neophytou - In: The journal of futures markets 17 (1997) 8, pp. 957-974

Persistent link: https://www.econbiz.de/10001232832

Short-term dynamics in the Cyprus Stock Exchange

Koutmos, Gregory; Pericli, Andreas Neophytou; … - In: The European journal of finance 12 (2006) 3, pp. 205-216

Persistent link: https://www.econbiz.de/10003318914

The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Hardouvelis, Gikas A; Pericli, Andreas; Theodossiou, … - C.E.P.R. Discussion Papers - 1997

EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period October 1934–September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to...

Persistent link: https://www.econbiz.de/10005123642

The asymmetric relation between margin requirements and stock market volatility across bull and bear markets

Hardouvelis, Gikas A. - 1997

Persistent link: https://www.econbiz.de/10013424729

Modeling short-term interest rate volatility : information shocks versus interest rate levels

Koutmos, Gregory - In: The journal of fixed income 9 (2000) 4, pp. 19-22

Persistent link: https://www.econbiz.de/10001495246

Do emerging and developed stock markets behave alike? : Evidence from six Pacific Basin stock markets

Koutmos, Gregory - In: Journal of international financial markets, … 7 (1997) 3, pp. 221-234

Persistent link: https://www.econbiz.de/10001238420

The volatility of interest rates across maturities and frequencies

Koutmos, Gregory - In: The journal of fixed income 8 (1998) 3, pp. 27-31

Persistent link: https://www.econbiz.de/10001364561

Common volatility in MBS returns : a factor GARCH approach

Koutmos, Gregory - In: The journal of fixed income 10 (2001) 4, pp. 59-66

Persistent link: https://www.econbiz.de/10001580723

Modeling interest rate volatility : an extended EGARCH approach

Koutmos, Gregory - In: Managerial finance 38 (2012) 6, pp. 628-635

Persistent link: https://www.econbiz.de/10009559682

Modeling interest rate volatility: an extended EGARCH approach

Koutmos, Gregory - In: Managerial Finance 38 (2012) May, pp. 628-635

Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility. Design/methodology/approach – The methodology is based on an extended Exponential Generalized ARCH (EGARCH) model that incorporates both interest rate levels as well as past information...

Persistent link: https://www.econbiz.de/10010551582