The Impulse of Stock Market Volatility and the Market Crash of October 1987
โ Scribed by Daniel Wai-Wah Cheung
- Book ID
- 108567864
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 158 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili
## Abstract This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator c