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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010472838
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Arbitrage and optimal portfolio choice with financial constraints
Elsinger, Helmut; Summer, Martin - 2001
Persistent link: https://www.econbiz.de/10001609824
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The impact on market outcomes of the portfolio selection of large equity investors
Moreno, Diego; Petrakēs, Emmanuēl - 2021
Persistent link: https://www.econbiz.de/10013259971
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Impact of QE on European sovereign bond market
Martin, Franck; Zhang, Jiangxingyun - 2017
Persistent link: https://www.econbiz.de/10011712977
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Economic policy uncertainty and the volatility of sovereign CDS spreads
Raunig, Burkhard - 2018
Persistent link: https://www.econbiz.de/10011820277
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International bond portfolio performance evaluation : a mark-to-market approach
Kjeldsen, Kristian - 1996
Persistent link: https://www.econbiz.de/10000952143
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Ex dividend day equilibrium and taxes
Kaplanis, Costas P. - 1985 - Rev
Persistent link: https://www.econbiz.de/10000963526
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On some portfolio selection criteria of Elton, Gruber and Padberg : a compact reformulation
Jensen, Bjarne Astrup - 1997
Persistent link: https://www.econbiz.de/10000977546
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Dynamic asset allocation and fixed income management
Sørensen, Carsten - 1998
Persistent link: https://www.econbiz.de/10000988700