This study investigates the day of the week effect on the volatility of major stock market
indexes for the period of 1988 through 2002. Using a conditional variance framework, we …

In this study we compare the quality and information content of risk neutral densities
obtained by various methods. We consider a non-parametric method based on a mixture of …

The first four conditional moments of the integrated variance implied by the GARCH
diffusionprocess are derived analytically. Based on these moments and on a power series …

We test for reliable evidence of the day-of-the-week effect on both the mean and volatility for
the S&P/TSX Canadian return index. Unlike previous studies, we permit several …

Purpose–The purpose of this paper is to investigate the weather and calendar effects on the
usage pattern of a tourism web site. Design/methodology/approach–This paper analyses …

Many recently introduced unit-linked life insurance policies contain provisions allowing
policyholders to lapse the product. The problem of pricing this surrender option is difficult as …

Abstract Real Options Analysis is a technique that offers advantages over the traditional
Discounted Cash Flow (DCF) approach for determining project valuation. Although options …

Od wielu lat badacze rynków finansowych próbują wyjaśnić zjawisko zróżnicowania stóp
zwrotu z instrumentów finansowych notowanych na rynkach finansowych na całym świecie …

In this paper we consider the problem of pricing and hedging European derivatives written
on two underlying assets, when individual marginal distributions are known. Our aim is …

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Existence of Day-of-the-Week Effect in Returns of Some Selected Indices of the Indian Stock …