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Implied volatility surfaces : a comprehensive analysis using half a billion option prices

Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169

Persistent link: https://www.econbiz.de/10014423871

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012064799

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

Locally stationary multiplicative volatility modeling

Walsh, Christopher; Vogt, Michael - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 497-508

Persistent link: https://www.econbiz.de/10014448258

Modelling nonlinearities in cointegration relationships

Schweikert, Karsten - 2017

Persistent link: https://www.econbiz.de/10012795244

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Hedging and diversification across commodity assets

Abid, Ilyes; Dhaoui, Abderrazak; Goutte, Stéphane; … - In: Applied economics 52 (2020) 23, pp. 2472-2492

Persistent link: https://www.econbiz.de/10012210890

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin …

Persistent link: https://www.econbiz.de/10012588206