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

DOI10.1016/J.MATCOM.2008.02.023zbMATH Open1152.91734OpenAlexW1993866413MaRDI QIDQ960349FDOQ960349

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

Recommendations

• Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model
• An empirical study on the threshold cointegration of Chinese A and H cross-listed shares
• A note on interaction between financial markets
• Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
• Study on the stability of an artificial stock option market based on bidirectional conduction

zbMATH Keywords

threshold modeloptionBS modelimplied stock prices

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

• The dynamics of the relationship between spot and futures markets under high and low variance regimes

This page was built for publication: Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q960349)