Estimation of stochastic volatility models with diagnostics
, 1997 A. Ronald Gallant +2 more
openalex +2 more sources
Deviance Information Criterion for Comparing Stochastic Volatility Models [PDF]
, 2002 Andreas Berg, Renate Meyer, Jun Yu
openalex +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
Multiscale Stochastic Volatility Asymptotics [PDF]
, 2003 Jean-Pierre Fouque +3 more
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Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]
This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic.
Elias Tzavalis, Shijun Wang
core
A note on the determinants of non‐fungible tokens returns
International Journal of Finance &Economics, EarlyView.Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis +1 more
wiley +1 more source
Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models [PDF]
, 2003 Josu Arteche
openalex +1 more source
The impact of new millennium crises on the power of Islamic banks in deposit markets
International Journal of Finance &Economics, EarlyView.Abstract We investigate the impact of three crises on the power of Islamic banks in deposit markets: the Global Financial Crisis, 2007–2009 (GFC), the Arab Spring political crisis, 2011–2013, and the COVID‐19 health crisis, 2020–2022. Applying difference‐in‐difference (DID) and GMM techniques to panel data for 2004–2022, we find that the power of ...
Maryam Alhalboni, Kenneth Baldwin
wiley +1 more source
Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps [PDF]
, 2003 Kyriakos Chourdakis
openalex +1 more source
The impact of cryptocurrency heists on Bitcoin's market efficiency
International Journal of Finance &Economics, EarlyView.Abstract Within the adaptive market hypothesis (AMH) framework, this study explores the dynamic impact of cryptocurrency heists on Bitcoin's market efficiency. By analysing Bitcoin's one‐minute price data, we calculate permutation entropy to assess market disorder and employ the complexity‐entropy causality plane to quantify structural changes in the ...
Mingnan Li, Viktor Manahov, John Ashton
wiley +1 more source