Investment disputes and their explicit role in option market uncertainty and overall risk instability
CC BY
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s10287-023-00447-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429 |
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oai:localhost:PNK-84292023-05-10T01:13:46Z Investment disputes and their explicit role in option market uncertainty and overall risk instability Zdeněk, Drábek Miloš, Kopa Matúš, Maciak Investment disputes overall risk instability CC BY We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration. 2023-05-10T01:13:46Z 2023-05-10T01:13:46Z 2023 Book https://link.springer.com/article/10.1007/s10287-023-00447-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429 en application/pdf Springer |
| institution |
Digital Phenikaa |
| collection |
Digital Phenikaa |
| language |
English |
| topic |
Investment disputes overall risk instability |
| spellingShingle |
Investment disputes overall risk instability Zdeněk, Drábek Miloš, Kopa Matúš, Maciak Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| description |
CC BY |
| format |
Book |
| author |
Zdeněk, Drábek Miloš, Kopa Matúš, Maciak |
| author_facet |
Zdeněk, Drábek Miloš, Kopa Matúš, Maciak |
| author_sort |
Zdeněk, Drábek |
| title |
Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| title_short |
Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| title_full |
Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| title_fullStr |
Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| title_full_unstemmed |
Investment disputes and their explicit role in option market uncertainty and overall risk instability |
| title_sort |
investment disputes and their explicit role in option market uncertainty and overall risk instability |
| publisher |
Springer |
| publishDate |
2023 |
| url |
https://link.springer.com/article/10.1007/s10287-023-00447-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429 |
| _version_ |
1765626990156578816 |
| score |
8.891145 |