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Option prices with uncertain fundamentals : theory and evidence on the dynamics of implied volatilities

David, Alexander; Veronesi, Pietro - 1999

Persistent link: https://www.econbiz.de/10001426915

Three essays in international finance and financial economics

Hu, Xiaoqiang - 1994

Persistent link: https://www.econbiz.de/10000916084

Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates : applications of Fourier inversion methods

Scott, Louis O. - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 413-426

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A generalized partially linear model of asymmetric volatility

Wu, Guojun; Xiao, Zhijie - In: Journal of empirical finance 9 (2002) 3, pp. 287-319

Persistent link: https://www.econbiz.de/10001705438

Market expectations and probability distributions implicit in option prices

McIntyre, Michael; Nitani, Miwako - In: International business and economics research journal 3 (2004) 10, pp. 17-30

Persistent link: https://www.econbiz.de/10002518130

Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices

Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - In: The review of financial studies 23 (2010) 8, pp. 3141-3189

Persistent link: https://www.econbiz.de/10008662052

Expected volatility, unexpected volatility, and the cross-section of stock returns

Chua, Choong Tze; Goh, Jeremy C.; Zhang, Zhe - In: The journal of financial research 33 (2010) 2, pp. 103-123

Persistent link: https://www.econbiz.de/10003987973

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

Persistent link: https://www.econbiz.de/10011376746

U.S. stock market crash risk, 1926–2010

Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259

Persistent link: https://www.econbiz.de/10009666837

US implied volatility as a predictor of international returns

Dicle, Mehmet F. - In: Quantitative finance and economics 1 (2017) 4, pp. 388-402

Persistent link: https://www.econbiz.de/10012137841