Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model

DOI10.1016/J.MATCOM.2008.02.023MaRDI QIDQ960349zbMATH OpenOpenAlexFDO

Authors Ming-Yuan Leon Li

Publication date 17 December 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.02.023

zbMATH Keywords

threshold modeloptionBS modelimplied stock prices

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An econometric analysis of asymmetric volatility: theory and application to patents
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Chicago board call options as predictors of common stock price changes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Properties of moments of a family of GARCH processes
• Stationarity and the existence of moments of a family of GARCH processes.
• Stationarity of GARCH processes and of some nonnegative time series
• THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹
• The pricing of options and corporate liabilities
• Threshold Cointegration
• Threshold cointegration and nonlinear adjustment to the law of one price
• Threshold heteroskedastic models

Cited in

(2)

• The dynamics of the relationship between spot and futures markets under high and low variance regimes
• Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model

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