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Search: subject:"volatility risk premium"
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Forecasting model
Risikoprämie
52
Volatilität
52
Risk premium
50
Volatility
50
Volatility risk premium
45
volatility risk premium
21
Estimation
19
Option trading
19
Optionsgeschäft
19
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19
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18
Option pricing theory
17
Capital income
16
Kapitaleinkommen
16
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14
ARCH model
12
ARCH-Modell
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Welt
12
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12
Volatility Risk Premium
10
Börsenkurs
9
Share price
9
Implied volatility
8
Theorie
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7
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7
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7
Time series analysis
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Aktienmarkt
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Yin, Libo
4
Ornelas, José Renato Haas
3
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2
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2
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2
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2
Mauad, Roberto Baltieri
2
Su, Zhi
2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Energy economics
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ECONIS (ZBW)
14
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1
Trading the FX
volatility
risk
premium
with machine learning and alternative data
Dierckx, Thomas
;
Davis, Jesse
;
Schoutens, Wim
- In:
The Journal of finance and data science : JFDS
8
(
2022
),
pp. 162-179
develop trading strategies. Starting from a trading strategy that harvests the EUR/USD
volatility
risk
premium
by selling one …
Persistent link: https://www.econbiz.de/10014433693
Saved in:
2
Uncertainty-driven oil
volatility
risk
premium
and international stock market volatility forecasting
Fang, Tong
;
Miao, Deyu
;
Su, Zhi
;
Yin, Libo
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 872-904
Persistent link: https://www.econbiz.de/10014292840
Saved in:
3
Is oil risk important for commodity-related currency returns?
Yin, Libo
;
Su, Zhi
;
Lu, Man
- In:
Research in international business and finance
60
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013412450
Saved in:
4
Volatility risk premia and future commodities returns
Ornelas, José Renato Haas
;
Mauad, Roberto Baltieri
-
2017
-
Revised July 2017
Persistent link: https://www.econbiz.de/10011752576
Saved in:
5
Expected currency returns and volatility risk premia
Ornelas, José Renato Haas
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 206-234
Persistent link: https://www.econbiz.de/10012269179
Saved in:
6
It's not that important : the negligible effect of oil market uncertainty
Yin, Libo
;
Feng, Jiabao
;
Liu, Li
;
Wang, Yudong
- In:
International review of economics & finance : IREF
60
(
2019
),
pp. 62-84
Persistent link: https://www.econbiz.de/10012203810
Saved in:
7
Volatility risk premia and future commodity returns
Ornelas, José Renato Haas
;
Mauad, Roberto Baltieri
- In:
Journal of international money and finance
96
(
2019
),
pp. 341-360
Persistent link: https://www.econbiz.de/10012139839
Saved in:
8
Oil volatility risk and stock market volatility predictability : evidence from G7 countries
Feng, Jiabao
;
Wang, Yudong
;
Yin, Libo
- In:
Energy economics
68
(
2017
),
pp. 240-254
Persistent link: https://www.econbiz.de/10011905699
Saved in:
9
Learning and forecasts about option returns through the
volatility
risk
premium
Bernales, Alejandro
;
Chen, Louisa
;
Valenzuela, Marcela
- In:
Journal of economic dynamics & control
82
(
2017
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
Saved in:
10
Volatility measures and Value-at-Risk
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
Saved in:
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