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Efficient estimation of expected stock price returns

Madan, Dilip B. - In: Finance research letters 23 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011808349

Three non-Gaussian models of dependence in returns

Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

Persistent link: https://www.econbiz.de/10011800343

Asymmetries in financial returns

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10011807103

The impact of option hedging on the spot market volatility

Anderegg, Benjamin; Ulmann, Florian Michael Till; … - In: Journal of international money and finance 124 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013435214

Socioeconomic differentials in mortality : implications on index-based longevity hedges

Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 359-387

Persistent link: https://www.econbiz.de/10014336393

Hedging structured credit products during the credit crisis : a horse race of 10 models

Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Journal of banking & finance 37 (2013) 5, pp. 1687-1705

Persistent link: https://www.econbiz.de/10009729477

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...

Persistent link: https://www.econbiz.de/10011960804

The impact of highter order moments added to the multiscale Carhart model for different investment periods

Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276

Persistent link: https://www.econbiz.de/10011347007

A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173

Persistent link: https://www.econbiz.de/10011326796