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Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Santini, Amia - 2022

relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus … market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices …

Persistent link: https://www.econbiz.de/10013192353

Risk premium or irrational expectations? : an investigation into the causes of forward discount bias across 27 developed and developing economies forward rates

Miah, Fazlul; Al-Titi, Omar - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-22

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Disagreement with procyclical beliefs and asset pricing

Wang, Hailong; Hu, Duni - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-33

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Margins on short sales and equilibrium price indeterminacy

Ma, Chenghu; Hu, Jianqiang; Xu, Yifan - In: Journal of mathematical economics 74 (2018), pp. 79-92

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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?

Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37

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A risk-neutral equilibrium leading to uncertain volatility pricing

Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295

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Managing user-generated content : a dynamic rational expectations equilibrium approach

Ahn, Dae-Yong; Duan, Jason A.; Mela, Carl F. - In: Marketing science : the marketing journal of the … 35 (2016) 2, pp. 284-303

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The random walk versus unbiased efficiency : can we separate the wheat from the chaff?

Moosa, Imad A. - In: Journal of post-Keynesian economics : JPKE 38 (2015) 2, pp. 251-279

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Market demand of smart but uninformed consumers rotates counterclockwise with better information : surprising welfare effects

Graça, Tarcisio Barroso da; Masson, Robert T. - In: Applied economics letters 23 (2016) 1/3, pp. 11-14

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From accounting to economics : the role of aggregate special items in gauging the state of the economy

Abdalla, Ahmed M.; Carabias, Jose M. - In: The accounting review : a publication of the American … 97 (2022) 1, pp. 1-27

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