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~person:"Apergēs, Nikolaos"
~person:"Bali, Turan G."
~person:"Engle, Robert F."
~subject:"Kapitaleinkommen"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
~subject:"Theorie"
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Kapitaleinkommen
Portfolio selection
Prognoseverfahren
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Börsenkurs
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137
Capital income
80
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Apergēs, Nikolaos
Bali, Turan G.
Engle, Robert F.
Gupta, Rangan
129
Caporale, Guglielmo Maria
111
Zaremba, Adam
85
Campbell, John Y.
67
McMillan, David G.
66
Pierdzioch, Christian
64
Lux, Thomas
61
Härdle, Wolfgang
59
Narayan, Paresh Kumar
58
Plastun, Alex
57
Timmermann, Allan
49
Bekaert, Geert
47
Cakici, Nusret
47
Hautsch, Nikolaus
45
Ma, Feng
44
Chiarella, Carl
42
Jarrow, Robert A.
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Wohar, Mark E.
40
Faff, Robert W.
39
Platen, Eckhard
39
Bohl, Martin T.
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Gil-Alaña, Luis A.
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Guidolin, Massimo
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Madan, Dilip B.
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Bollerslev, Tim
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Shleifer, Andrei
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Wystup, Uwe
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Ryu, Doojin
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Stambaugh, Robert F.
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Fabozzi, Frank J.
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Subrahmanyam, Avanidhar
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Ang, Andrew
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Titman, Sheridan
33
Veronesi, Pietro
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Dow, James
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Hull, John
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Zhou, Guofu
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ECONIS (ZBW)
119
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1
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G.
-
2012
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the price of the underlying stock...
Persistent link: https://www.econbiz.de/10013111682
Saved in:
2
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G.
-
2013
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price...
Persistent link: https://www.econbiz.de/10013094978
Saved in:
3
Hedging options in GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.
;
Rosenberg, Joshua V.
-
1994
Persistent link: https://www.econbiz.de/10000147446
Saved in:
4
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.
;
Kane, Alex
;
Noh, Jaesun
-
1993
Persistent link: https://www.econbiz.de/10000877913
Saved in:
5
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.
;
Kane, Alex
;
Noh, Jaesun
-
1993
Persistent link: https://www.econbiz.de/10000886028
Saved in:
6
Testing the volatility term structure using option hedging criteria
Engle, Robert F.
;
Rosenberg, Joshua V.
-
1998
Persistent link: https://www.econbiz.de/10000982921
Saved in:
7
Empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000982923
Saved in:
8
Option hedging using empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
-
1997
Persistent link: https://www.econbiz.de/10000643460
Saved in:
9
GARCH gamma
Engle, Robert F.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 47-59
Persistent link: https://www.econbiz.de/10001223170
Saved in:
10
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.
- In:
Review of derivatives research
1
(
1996
)
2
,
pp. 139-157
Persistent link: https://www.econbiz.de/10001218119
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