Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
type: Item
instance of: scholarly article
title: Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
zbMATH Open document ID: 1152.91734
author: Ming-Yuan Leon Li
published in: Mathematics and Computers in Simulation
publication date: 2008-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5383106
zbMATH Keywords: option
zbMATH Keywords: threshold model
zbMATH Keywords: implied stock prices
zbMATH Keywords: BS model
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.02.023
OpenAlex ID: W1993866413
cites work: Threshold Cointegration
cites work: The pricing of options and corporate liabilities
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Stationarity of GARCH processes and of some nonnegative time series
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Properties of moments of a family of GARCH processes
cites work: On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
cites work: NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
cites work: Stationarity and the existence of moments of a family of GARCH processes.
cites work: Threshold cointegration and nonlinear adjustment to the law of one price
cites work: AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
cites work: An econometric analysis of asymmetric volatility: theory and application to patents
cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach
cites work: Chicago board call options as predictors of common stock price changes
cites work: THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1
cites work: Threshold heteroskedastic models
DOI: 10.1016/J.MATCOM.2008.02.023
description: scientific article; zbMATH DE number 5383106