An idea of risk-neutral momentum and market fear
Wolfgang Schadner
| Year of publication: |
2020
|
|---|---|
| Authors: | Schadner, Wolfgang |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 37.2020, p. 1-6
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| Subject: | Fractal Brownian motion | Implied volatility | Long-term memory | Market fear | Momentum | Sentiment | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments | Aktienmarkt | Stock market | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.101347 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012484870