Influence of financial contagion

This research paper used a quantitative research design where econometric models were used in the analysis. The entire population of the listed firms in the NSE was used. Primary data was collected from the licensed market participants at the NSE.

16p kelseynguyen 26-05-2020 34 2   Download

The purpose of this paper is to analyse the risk-neutral density derived from prices of DAX options. We focus on observable factors that may influence changes in the moments of the RND. For this purpose, we investigate the impact of various macroeconomic and financial variables on risk-neutral densities of stock market movements. In this way, we attempt to uncover relationships between the implied volatility, skewness and kurtosis computed from the RND and the underlying fundamentals of the stock market. Our sample runs from December 1995 to November 2001.

39p bocapchetnguoi 05-12-2012 59 3   Download