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Islam, Sultan [Author]

Asymmetric Covariance, Volatility, and Time-Varying Risk Premium : Evidence from the Finnish Stock Market

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[S.l.]: SSRN, [2023]
Chakrabarti, Prasenjit [Author]; Kumar, K. Kiran [Author]

Does behavioural theory explain return-implied volatility relationship? Evidence from India

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Abingdon: Taylor & Francis, 2017
Pathak, Jalaj [Author]; Deb, Soumya Guha [Author]

Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets

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Abingdon: Taylor & Francis, 2020
Conrad, Christian [Author]; Karanasos, Menelaos G. [Author]

Modeling the link between US inflation, output and their variabilities

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Frankfurt a. M.: Verein für Socialpolitik, 2010
Conrad, Christian [Author]; Schoelkopf, Julius Theodor [Author]; Tushteva, Nikoleta [Author]

Long-term volatility shapes the stock market’s sensitivity to news

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[Waterloo, Ontario]: Rimini Centre for Economic Analysis, [2023]

Published in: Working papers ; 2023,16
Conrad, Christian [Author]; Schölkopf, Julius [Author]; Tushteva, Nikoleta [Author]

Long-term volatility shapes the stock market’s sensitivity to news

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Heidelberg: Universitätsbibliothek Heidelberg, 05 Dez. 2023

Published in: AWI discussion paper series ; 739
Conrad, Christian [Author]; Schölkopf, Julius [Author]; Tushteva, Nikoleta [Author]

Long-term volatility shapes the stock market's sensitivity to news

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Heidelberg: University of Heidelberg, Department of Economics, 2023
Mancino, Maria Elvira [Author]; Sanfelici, Simona [Author]

Nonparametric Malliavin-Monte Carlo computation of hedging Greeks

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Basel: MDPI, 2020
Blanc, Pierre [Author] ; Paris Est [Contributor]; Alfonsi, Aurélien [Contributor]

Effets de rétroaction en finance : applications à l'exécution optimaleet aux modèles de volatilité ; Feedback effects in finance : applications to optimal execution and volatility modeling

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theses.fr, 2015-10-09
Dwarika, Nitesha [Author]

The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach

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2023

Published in: Quantitative finance and economics ; 7(2023), 1, Seite 119-146
Sun, Yiguo [Author]; Wu, Ximing [Author]

Leverage and volatility feedback effects and conditional dependence index: A nonparametric study

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Basel: MDPI, 2018
Asai, Manabu [Author]; McAleer, Michael [Author]

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

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Amsterdam and Rotterdam: Tinbergen Institute, 2013
Christensen, Bent Jesper [Author]; Nielsen, Morten Ørregaard [Author]; Zhu, Jie [Author]

The impact of financial crises on the risk-return tradeoff and the leverage effect

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Kingston (Ontario): Queen's University, Department of Economics, 2012
Conrad, Christian [Author]; Karanasos, Menelaos [Author]

Modeling the link between US inflation and output: the importance of the uncertainty channel

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Heidelberg: University of Heidelberg, Department of Economics, 2010
Christensen, Bent Jesper [Author]; Nielsen, Morten Ørregaard [Author]; Zhu, Jie [Author]

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model

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Kingston (Ontario): Queen's University, Department of Economics, 2009
Conrad, Christian [Author]; Karanasos, Menelaos [Author]

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model

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Heidelberg: University of Heidelberg, Department of Economics, 2008
Conrad, Christian [Author]; Karanasos, Menelaos [Author]

Negative volatility spillovers in the unrestricted ECCC-GARCH model

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Zurich: ETH Zurich, KOF Swiss Economic Institute, 2008
Tse, Wai Man [Author]

A Business Cycle Capital Asset Pricing Model

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[S.l.]: SSRN, [2021]
Gospodinov, Nikolay [Author]; Jamali, Ibrahim [Author]

The response of stock market volatility to futures-based measures of monetary policy shocks

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Atlanta, GA: Federal Reserve Bank of Atlanta, 2014
Andersen, Torben G. [Author]; Bollerslev, Tim [Author]; Frederiksen, Per [Author]; Nielsen, Morten Ørregaard [Author]

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

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Kingston (Ontario): Queen's University, Department of Economics, 2008

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