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Search: subject:"Option-implied moments"
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Option-implied moments
7
Capital income
6
Kapitaleinkommen
6
Portfolio selection
6
Portfolio-Management
6
Risikoprämie
5
Risk premium
5
Estimation
4
Risiko
4
Risk
4
Schätzung
4
option-implied moments
4
CAPM
3
Method of moments
3
Momentenmethode
3
Option pricing theory
3
Option trading
3
Optionsgeschäft
3
Optionspreistheorie
3
Volatility
3
Volatilität
3
disappointment aversion
3
market risk premium
3
risk adjustment
3
variance risk premium
3
Aktienmarkt
2
Capital market returns
2
Cross section
2
Factor-mimicking portfolios
2
Kapitalmarktrendite
2
Risikoaversion
2
Risk aversion
2
Skewness risk
2
Stock market
2
Volatility risk
2
Börsenkurs
1
Carry trade
1
Carry trade unwinding
1
Crash risk
1
Currency options
1
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Undetermined
6
Free
4
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Article
7
Book / Working Paper
4
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Article in journal
6
Aufsatz in Zeitschrift
6
Graue Literatur
2
Non-commercial literature
2
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2
Arbeitspapier
1
Aufsatzsammlung
1
Hochschulschrift
1
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English
9
Undetermined
2
Author
All
Brinkmann, Felix
4
Korn, Olaf
4
Chang, Bo Young
2
Feser, Alexander
2
Alexiou, Lykourgos
1
Ammann, Manuel
1
Chen, Shu-Hsiu
1
Chen, Steven Shu-Hsiu
1
Christoffersen, Peter
1
Christoffersen, Peter F.
1
Jacobs, Kris
1
Jakobs, Kris
1
Rompolis, Leonidas S.
1
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Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
1
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Review of derivatives research
2
CFR Working Paper
1
CFR Working Papers
1
Journal of Financial Economics
1
Journal of financial economics
1
Journal of international financial markets, institutions & money
1
Journal of international money and finance
1
The journal of futures markets
1
Working paper / Centre for Financial Research
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ECONIS (ZBW)
8
RePEc
2
EconStor
1
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1
International crash risk premium
Chen, Steven Shu-Hsiu
- In:
Journal of international financial markets, …
94
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10015063171
Saved in:
2
Essays on the interaction of option and equity markets
Feser, Alexander
-
2020
How do option and equity markets interact with each other? This is the central question that is answered from three different angles in this dissertation. The first Chapter discusses how option-implied information is incorporated into equity markets. Based on a novel rescaled option-implied...
Persistent link: https://www.econbiz.de/10012213830
Saved in:
3
Option-implied
moments
and the cross-section of stock returns
Alexiou, Lykourgos
;
Rompolis, Leonidas S.
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 668-691
Persistent link: https://www.econbiz.de/10013187580
Saved in:
4
Option-implied Value-at-Risk and the cross-section of stock returns
Ammann, Manuel
;
Feser, Alexander
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 449-474
Persistent link: https://www.econbiz.de/10012311843
Saved in:
5
Risk-adjusted
option-implied
moments
Brinkmann, Felix
;
Korn, Olaf
-
2014
Option-implied
moments
, like implied volatility, contain useful information about an underlying asset's return …
Persistent link: https://www.econbiz.de/10010397068
Saved in:
6
Risk-adjusted
option-implied
moments
Brinkmann, Felix
;
Korn, Olaf
-
2014
Option-implied
moments
, like implied volatility, contain useful information about an underlying asset's return …
Persistent link: https://www.econbiz.de/10010399367
Saved in:
7
Risk-adjusted
option-implied
moments
Brinkmann, Felix
;
Korn, Olaf
-
Institut für Finanzmarktforschung, Wirtschafts- und …
-
2014
Option-implied
moments
, like implied volatility, contain useful information about an underlying asset's return …
Persistent link: https://www.econbiz.de/10010957245
Saved in:
8
Risk-adjusted
option-implied
moments
Brinkmann, Felix
;
Korn, Olaf
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 149-173
Persistent link: https://www.econbiz.de/10012055736
Saved in:
9
Carry trade strategies based on option-implied information : evidence from a cross-section of funding currencies
Chen, Shu-Hsiu
- In:
Journal of international money and finance
78
(
2017
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011788340
Saved in:
10
Market skewness risk and the cross section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jakobs, Kris
- In:
Journal of financial economics
107
(
2013
)
1
,
pp. 46-68
Persistent link: https://www.econbiz.de/10009715175
Saved in:
1
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