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Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility

Meng, Li; Wang, Mei - In: Asia-Pacific financial markets 17 (2010) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10009237122

Do capital controls make gross equity flows to emerging markets less volatile?

Li, Jie; Rajan, Ramkishen S. - In: Journal of international money and finance 59 (2015), pp. 220-244

Persistent link: https://www.econbiz.de/10011478337

Exchange rate regimes and real exchange rate volatility : does inflation targeting help or hurt?

Ouyang, Alice Y.; Rajan, Ramkishen S.; Li, Jie - In: Japan and the world economy : international journal of … 39 (2016), pp. 62-72

Persistent link: https://www.econbiz.de/10011700692

Do securitized real estate markets jump? : international evidence

Li, Jie; Li, Guangzhong; Zhou, Yinggang - In: Pacific-Basin finance journal 31 (2015), pp. 13-35

Persistent link: https://www.econbiz.de/10011471503

Understanding bilateral exchange rate risks

Li, Guangzhong; Zhu, Jiaqing; Li, Jie - In: Journal of international money and finance 68 (2016), pp. 103-129

Persistent link: https://www.econbiz.de/10011711796

The informational content of implied volatility : application to the USD/JPY exchange rates

Peng, Qing; Li, Jie; Zhao, Yu; Han, Wu - In: Journal of Asian economics 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013276004

The network and own effects of global-systemically-important-bank designations

Egger, Peter; Li, Jie; Zhu, Jiaqing - In: Journal of international money and finance 136 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014333319

Do Securitized Real Estate Markets Jump? International Evidence

Li, Jie - 2014

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...

Persistent link: https://www.econbiz.de/10013044490

Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

Meng, Li; Wang, Mei - In: Asia-Pacific Financial Markets 17 (2010) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10008678551

Trading strategies and dynamic interactions under long-term volatility

Kusen, Alex - 2021

Persistent link: https://www.econbiz.de/10013166304