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Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised: December 2016

Persistent link: https://www.econbiz.de/10011631784

Impacts of derivative markets on spot market volatility and their persistence

Fong, Lik; Han, Chulwoo - In: Applied economics 47 (2015) 22/24, pp. 2250-2258

Persistent link: https://www.econbiz.de/10010516655

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised

Persistent link: https://www.econbiz.de/10011448000

Do futures and options trading increase spot market volatility in India? : the case of S&P CNX Nifty

Srinivasan, Palamalai - In: International journal of business performance and … 2 (2010) 2, pp. 134-145

Persistent link: https://www.econbiz.de/10009507588

Introduction of derivative trading in India and its impact on the volatility of underlying spot market

Prasanna, P. Krishna - In: Finance India : the quarterly journal of Indian … 27 (2013) 1, pp. 89-104

Persistent link: https://www.econbiz.de/10010363686

The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394

Persistent link: https://www.econbiz.de/10003600297

The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads

Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022

We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …

Persistent link: https://www.econbiz.de/10014236536

The only constant is change : nonconstant volatility and implied volatility spreads

Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 2190-2227

Persistent link: https://www.econbiz.de/10014365179

Informational content of options trading on acquirer announcement return

Chan, Konan; Ge, Li; Lin, Tse-Chun - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 5, pp. 1057-1082

Persistent link: https://www.econbiz.de/10011431148

Expanding the explanations for the return-volatility relation

Talukdar, Bakhtear; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 37 (2017) 7, pp. 689-716

Persistent link: https://www.econbiz.de/10011950866