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Risiko-Publizität : Formen der Darstellung von Marktrisiken im Jahresabschluß der Unternehmung
Schulz, Thomas - 1996
Persistent link: https://www.econbiz.de/10000601503
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Risk-return relationship reinvestigated
Garg, Vidisha; Vasishth, Vibhuti - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 208-215
Persistent link: https://www.econbiz.de/10011420287
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"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options
Carverhill, Andrew P. - 2020
We model the S&P500 index options dynamics using the CGMY distribution, with independent "up" and "down" return jumps, and diffusive jump intensities. Allowing the up and down parts to be separately parameterised accounts for the dynamic smirk effect, without correlation between returns and...
Persistent link: https://www.econbiz.de/10012837432
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Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Market risks that change US-European equity correlations
Sarwar, Ghulam - In: Journal of international financial markets, … 83 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014306348
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Can market risk explain the systemic risk? : evidence from the US banking industry
Tzouvanas, Panagiotis - In: Journal of economic studies 51 (2024) 1, pp. 165-184
Persistent link: https://www.econbiz.de/10014466448
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Essays on volatility measurement, model combination and asset pricing
Löbb, Joachim - 2006
Persistent link: https://www.econbiz.de/10003407931
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Limited market participation and volatility of asset prices
Allen, Franklin; Gale, Douglas - 1993
Persistent link: https://www.econbiz.de/10000865087
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R-squared and the economy
Morck, Randall; Yeung, Bernard; Yu, Wayne - 2013
Persistent link: https://www.econbiz.de/10009745239