We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyn
This study delves into the impact of reversals and investor attention on cryptocurrency returns before and during the COVID-19 pandemic. We employ the Two Stages Least Squares to analyze a sample of t
The table presents the correlation matrix of the time-series of illiquidity measures. Illiquidity is measured using the Amihud measure for each market. The sample runs from January 1, 2010 to March 22
Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volati
