Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach – The authors apply the Error Correction...

Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach – The authors apply the Error Correction...

This paper explores the impact of volatility estimation methods on theoretical option values based upon the Black-Scholes-Merton (BSM) model. Volatility is the only input used in the BSM model that cannot be observed in the market or a priori determined in a contract. Thus, properly calculating...

This paper investigates the dynamic correlation and volatility of fuel markets in the Visegrad countries: Hungary, the Czech Republic, Poland, and Slovakia. The paper examines regional fuel markets and retail prices. The research explores the interrelationships of Visegrad fuel markets using VAR...