It is well known that the implied volatility of S&P-500 index options usually overestimate the realized volatility of the S&P-500. The most elementary way to exploit this fact is the CBOE S&P 500 PutWrite Index PUT. In a series of papers the group of Prof. Larcher at the University of...

During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure...

During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure...