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Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...
Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785
Persistent link: https://www.econbiz.de/10001467848
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From value at risk to stress testing : the extreme value approach
Longin, François M. - In: Journal of banking & finance 24 (2000) 7, pp. 1097-1130
Persistent link: https://www.econbiz.de/10001483876
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Bond risk premia and realized jump risk
Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345
Persistent link: https://www.econbiz.de/10003905578
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Interest rate expectations and uncertainty during ECB Governing Council days : evidence from intraday implied densities of 3-month EURIBOR
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 36 (2012) 10, pp. 2804-2823
Persistent link: https://www.econbiz.de/10009673241
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Portfolio reallocation and exchange rate dynamics
Ding, Liang; Ma, Jun - In: Journal of banking & finance 37 (2013) 8, pp. 3100-3124
Persistent link: https://www.econbiz.de/10009777107
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Impact of idiosyncratic volatility on stock returns : a cross-sectional study
Khovansky, Serguey; Zhylyevskyy, Oleksandr - In: Journal of banking & finance 37 (2013) 8, pp. 3064-3075
Persistent link: https://www.econbiz.de/10009777131
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Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads
Kalimipalli, Madhu; Nayak, Subhankar; Perez, M. Fabricio - In: Journal of banking & finance 37 (2013) 8, pp. 2969-2990
Persistent link: https://www.econbiz.de/10009777275
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Are extreme returns priced in the stock market? : European evidence
Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411
Persistent link: https://www.econbiz.de/10010126415
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The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Ederington, Louis H.; Guan, Wei - In: Journal of banking & finance 37 (2013) 9, pp. 3388-3400
Persistent link: https://www.econbiz.de/10010126417
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Credit default swap spreads and variance risk premia
Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746
Persistent link: https://www.econbiz.de/10010126846