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Risk aversion and the intertemporal behavior of asset prices
Stapleton, Richard C. - In: The review of financial studies 3 (1990) 4, pp. 677-693
Persistent link: https://www.econbiz.de/10001105885
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Ambiguous volatility and asset pricing in continuous time
Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786
Persistent link: https://www.econbiz.de/10009778359
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State dependence can explain the risk aversion puzzle
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011
Persistent link: https://www.econbiz.de/10003716673
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Statistics of risk aversion
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007
Persistent link: https://www.econbiz.de/10003633711
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …
Persistent link: https://www.econbiz.de/10003634717
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Testing monotonicity of pricing Kernels
Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008
by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical … market utility functions are convex. In this paper we have constructed a test to verify uncertainty about the concavity of … agents' utility function by testing the monotonicity of empirical pricing kernels (EPKs). A monotone decreasing EPK …
Persistent link: https://www.econbiz.de/10003635940
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...
Persistent link: https://www.econbiz.de/10003636113