Table of contents
Models for Predicting Prices and Volatility Patterns in Major International Stock Markets
Panayiotis TheodossiouThis study presents various GARCH models for predicting movements (returns) and volatility patterns in major national stock market indices. These models depict that future returns…
Instabilities and Chaotic Behavior of Stock Prices in International Capital Markets
George C. PhilippatosIn this paper chaos is viewed as an alternative approach to modeling complex and random appearing behavior. The spatial (static) characteristics of weekly returns and price levels…
Athens Stock Exchange: Organization, Management, and Behavior of Major Stock Market Indices
Christos Negakis, Dimitris KambourisThis paper explores some institutional aspects of the Athens Stock Exchange (ASE) and investigates the time‐series properties of three major ASE stock indices. The results depict…
Modeling Volatility of Foreign Exchange Price Changes
Emel Kahya, Gregory Koutmos, Diep NuvenThis paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the…
Exchange Rates and the Role of the Trade Balance Account
John Doukas, Steve LiflandThe essence of the modern asset‐market approach to the analysis of exchange rate behavior includes the role of the trade balance account. We examine the relationship between…
Implicit Volatility and the Pricing of Stock Index and Interest Rate Options in US Markets
George C. Philippatos, Nicolas Gressis, Philip L. BairdThe Black‐Scholes (B‐S) model in its various formulations has been the mainstay paradigm on option pricing since its basic formulation in 1973. The model has generally been proven…
ISSN:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson