Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Leonidas S. Rompolis"'
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 27:171-198
This paper extends the Realized-GARCH framework, by allowing the conditional variance equation to incorporate exogenous variables related to intra-day realized measures. The choice of these measures is motivated by the so-called heterogeneous auto-re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fbb613248255b549bc9589e63a0bfa51
https://doi.org/10.1515/snde-2020-0131
https://doi.org/10.1515/snde-2020-0131
Publikováno v:
European Financial Management. 27:147-186
We propose a consistent approach for the estimation of the market risk premium. As a first step, we define the broadest possible set of ex ante estimators from the viewpoint of a power utility optimiser holding the market portfolio. We then employ an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a71ea26300773810f833f2098a336c9f
https://doi.org/10.1111/eufm.12287
https://doi.org/10.1111/eufm.12287
Publikováno v:
SSRN Electronic Journal.
We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price. Firms with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::86869cb3d2f693bda7328769927c951a
https://doi.org/10.2139/ssrn.3840081
https://doi.org/10.2139/ssrn.3840081
Autor:
Elias Tzavalis, Leonidas S. Rompolis
Publikováno v:
International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE 2004)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fb32e697097df45536b4833fbba31b46
https://doi.org/10.1201/9780429081385-252
https://doi.org/10.1201/9780429081385-252
Autor:
Leonidas S. Rompolis, Elias Tzavalis
Publikováno v:
Quantitative Finance. 17:531-550
This paper suggests perfect hedging strategies of contingent claims under stochastic volatility and random jumps of the underlying asset price. This is done by enlarging the market with appropriate swaps whose pay-offs depend on higher order sample m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e2b277eed9652333c8bf2ac00bc662b
https://doi.org/10.1080/14697688.2016.1224373
https://doi.org/10.1080/14697688.2016.1224373
Autor:
Elias Tzavalis, Leonidas S. Rompolis
Publikováno v:
Review of Quantitative Finance and Accounting. 48:955-1002
This paper derives exact formulas for retrieving risk neutral moments of future payoffs of any order from generic European-style option prices. It also provides an exact formula for retrieving the expected quadratic variation of the stock market impl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::29e7b28cb2a25bd04aa8efef53137c6f
https://doi.org/10.1007/s11156-016-0575-z
https://doi.org/10.1007/s11156-016-0575-z
Autor:
Leonidas S. Rompolis
Publikováno v:
Journal of Futures Markets. 36:943-967
This paper investigates the relation between risk-free rates and ex-ante market volatility. It derives a theoretical model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a direct ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb055ba6d5fd2e18bd4a15a8c3ed58f3
https://doi.org/10.1002/fut.21767
https://doi.org/10.1002/fut.21767
Autor:
Leonidas S. Rompolis
Publikováno v:
SSRN Electronic Journal.
This paper examines the impact of unconventional monetary policy of ECB measured by its balance sheet expansion on euro area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet shock
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::167a9aadcaec94a23fd3a4504a7c8956
https://doi.org/10.2139/ssrn.2980255
https://doi.org/10.2139/ssrn.2980255
Publikováno v:
Journal of Banking & Finance. 36:1028-1044
This article explores the role of the realized return distribution in the formation of the observed implied volatility smile using the framework of an adaptive expectations model. According to this framework investors update their expectations of fut
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::52e5bef55817677c25cd90b051b800e1
https://doi.org/10.1016/j.jbankfin.2011.10.016
https://doi.org/10.1016/j.jbankfin.2011.10.016
Autor:
Leonidas S. Rompolis
Publikováno v:
Journal of Empirical Finance. 17:918-937
This paper suggests a new method of implementing the principle of maximum entropy to retrieve the risk neutral density of future stock, or any other asset, returns from European call and put prices. The method maximizes the entropy measure subject to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1e2fe97a6468581a0fc5e50c7c3d4aa0
https://doi.org/10.1016/j.jempfin.2010.04.007
https://doi.org/10.1016/j.jempfin.2010.04.007