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An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options

Bali, Turan G. - In: Management science : journal of the Institute for … 53 (2007) 2, pp. 323-339

Persistent link: https://www.econbiz.de/10003435740

Optimal model description of finance and human factor indices

Kalaycı, Betül; Weber, Gerhard-Wilhelm - In: Central European journal of operations research 33 (2025) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10015195662

Queueing Theoretic Approaches to Financial Price Fluctuations

Bayraktar, Erhan - 2016

One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate. This agent-based viewpoint in finance goes back at least...

Persistent link: https://www.econbiz.de/10012990899

Examining the behaviour of stock returns and market volatility in Egypt

Moursi, Tarek Abdelfattah - In: The Middle East business and economic review 11 (1999) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10001509947

Memory in returns and volatilities of futures' contracts

Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-543

Persistent link: https://www.econbiz.de/10001509972

Realized stock volatility

Ebens, Heiko (contributor) - 1999 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001513129

The distribution of stock return volatility

Andersen, Torben (contributor) - 2000

Persistent link: https://www.econbiz.de/10001519326

Trading and returns under periodic market closures

Hong, Harrison G.; Wang, Jiang - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 297-354

Persistent link: https://www.econbiz.de/10001496996

Foreign speculators and emerging equity markets

Bekaert, Geert; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 565-613

Persistent link: https://www.econbiz.de/10001497269

A conditional variance model for daily stock returns in China's emerging stock markets : empirical evidence on the Shanghai and Shenzhen exchanges

Yu, Qiao - In: Journal of international financial markets, … 6 (1996) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10001498289