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Jump Distribution Characteristics: Evidence from European Stock Markets
Thierry Ané,Carole Métais +1 more
TLDR
In this paper, the unconditional distributional properties of the two components of a jump -intensity and size - for three leading European stock market indexes were analyzed, and a framework was provided to do so and analyze the conditional distributions of two components.Abstract:
A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps per day and their respective size. We provide a framework to do so and analyze the unconditional distributional properties of the two components of a jump - intensity and size - for three leading European stock market indexes.read more
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The Ethical Dilemma of Information Asymmetry in Innovation: Reputation, Investors and Noise in the Innovation Channel
TL;DR: In this article, the authors argue that the current situation fails to match economic and ethical ideals and that work is needed to develop tools which allow those who provide finance and support for innovation to target it more effectively at those who have a prospect of successfully launching genuine innovations and thus reduce the "noise" in the innovation field.
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Institutional and resource configurations associated with different SME foreign market entry modes
TL;DR: In this paper, the authors explore the different configurations of internal and externally sourced resources utilized by SMEs, as well as host and home country institutional influences across different foreign market entry modes in a B2B setting.
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Exploring brand identity and entrepreneurship as drivers of small specialist retailer internationalisation: a German case study
TL;DR: In this article, the authors explored the role of brand identity and its role within small specialist retail internationalisation, and the related influence of the entrepreneur on the internationalisation process, and highlighted the numerous ways in which the characteristics and activities of the entrepreneurial owner-managers impact on the firm's internationalisation.
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Capabilities and Performance of Early Internationalizing Firms: A Systematic Literature Review
TL;DR: In this article, a capability-categorization model was developed and a systematic literature review was conducted to identify which capabilities dominate the literature and which may have been overlooked, and a research agenda for future capabilities-based international entrepreneurship research was presented.
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The reverse volatility asymmetry in Chinese financial market
Die Wan,Ke Cheng,Xiaoguang Yang +2 more
TL;DR: In contrast to the widely accepted theory of volatility asymmetry (i.e. negative returns induce higher price volatilities than positive ones), Wang et al. as mentioned in this paper investigated the intraday return-volatility correlation in Chinese financial market with high-frequency transaction data of individual stocks.
References
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Option pricing when underlying stock returns are discontinuous
TL;DR: In this article, an option pricing formula was derived for the more general case when the underlying stock returns are generated by a mixture of both continuous and jump processes, and the derived formula has most of the attractive features of the original Black-Scholes formula.
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The distribution of realized stock return volatility
TL;DR: In this article, the authors examined daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average and found that the unconditional distributions of realized variances and covariances are highly right-skewed.
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Transform analysis and asset pricing for affine jump-diffusions
TL;DR: In this article, the authors provide an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical Treatment of a range of valuation and econometric problems.
Reference EntryDOI
Merton, Robert C.
TL;DR: Merton's most notable works include the intertemporal capital asset pricing model, the Black-Scholes-Merton option pricing formula, and the Merton structural model for credit risk.
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The Distribution of Realized Exchange Rate Volatility
TL;DR: In this article, the authors construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade using high-frequency data on deutschemark and yen returns against the dollar.