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Modellrisiko bei der Bewertung von Optionen in einem Vergleich von Modellen mit stochastischer Volatilität
Ender, Manuela - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003652604
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Price Discovery Under Model Uncertainty
Kim, Jaeho; Linn, Scott C. - 2022
In this study, we empirically investigate whether or not the conventional belief that new information about fundamental value is revealed in the futures market ahead of the spot market is applicable to four important storable energy commodities, oil, gasoline, heating oil and natural gas. Taking...
Persistent link: https://www.econbiz.de/10013296725
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Priced risk in corporate bonds
Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare - In: Journal of financial economics 150 (2023) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014462590
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Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
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Identification of beliefs in the presence of disaster risk and misspecification
Chaudhuri, Saraswata; Renault, Eric; Wahlstrom, Oscar - In: Essays in honor of Joon Y. Park : econometric …, (pp. 261-290). 2023
Persistent link: https://www.econbiz.de/10014315375
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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...
Persistent link: https://www.econbiz.de/10010400661
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La sous-évaluation des actions en période d'inflation : test de l'hypothèse de Modigliani et Cohn et proposition d'une explication alternative
Bahlous, Mejda - In: Economie appliquée : archives de l'Institut de … 48 (1995) 1, pp. 47-88
Persistent link: https://www.econbiz.de/10001180856
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Uncertain inflation, real risk and stock prices : a note
Dokko, Yoon; Edelstein, Robert H. - 1985
Persistent link: https://www.econbiz.de/10001448560
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Inflation uncertainty and stock market fluctuations : an intertemporal CAPM approach
Dokko, Yoon - In: Research in finance 9 (1991), pp. 1-20
Persistent link: https://www.econbiz.de/10001120698
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Low Inflation : High Default Risk and High Equity Valuations
Bhamra, Harjoat Singh - 2018
We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real … asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal … when inflation falls. An increase in inflation has opposite effects, but with smaller magnitudes. In the cross section, the …
Persistent link: https://www.econbiz.de/10012907126