This paper employs a VAR-GARCH model to investigate the return links and volatility
transmission between the S&P 500 and commodity price indices for energy, food, gold and …

This study accounts for the time‐varying pattern of price shock transmission, exploring stock
market linkages using continuous time wavelet methodology. In order to sustain and …

Rényi entropy based on characteristic function has been used as an information measure
contained in wide-sense and real stationary vector autoregressive and moving average …

In this paper, cointegration relationships among 26 global stock market indices over the
periods of sub-prime and European debt crisis and their influence rank are investigated by …

This paper deals with the problem of discrete time option pricing by the fractional Black–
Scholes model with transaction costs. By a mean self-financing delta-hedging argument in a …

This paper deals with the problem of discrete-time option pricing by the mixed Brownian–
fractional Brownian model with transaction costs. By a mean-self-financing delta hedging …

This paper deals with the problem of discrete time option pricing using the fractional long
memory stochastic volatility model with transaction costs. Through the 'anchoring and …

This paper deals with the problem of discrete time option pricing using the multifractional
Black–Scholes model with transaction costs. Using a mean self-financing delta hedging …

The increase of globalization and financial liberalization along with the recurrence of the
financial crises have made the issue of global stock market integration crucial particularly …

A model for option pricing of fractional version of the Merton model with 'Hurst exponent'H
being in [1/2, 1) is established with transaction costs. In particular, for H∈(1/2, 1) the minimal …