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Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010
DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …
Persistent link: https://www.econbiz.de/10014425190
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2010
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012761268
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2006
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012466328
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Die Zinsstrukturtheorie : eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003952238
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Learning and Forecasts about Option Returns through the Volatility Risk Premium
Bernales, Alejandro - 2019
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …
Persistent link: https://www.econbiz.de/10012892623
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Variance Risk Premium and VIX Pricing : A Simple GARCH Approach
Liu, Qiang - 2015
This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the S&P 500 index, a hypothetical date-t VIX turns out to be below the...
Persistent link: https://www.econbiz.de/10013036420
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Commodity Variance Risk Premia and Expected Futures Returns : Evidence from the Crude Oil Market
Kang, Sang Baum - 2015
futures and options to hedge their exposure to commodity price and volatility risk; speculators provide liquidity and ask for …
Persistent link: https://www.econbiz.de/10013035319
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Option-Implied Information and Predictability of Extreme Returns
Vilkov, Grigory - 2012
market index. The tail loss measure is motivated by the results of the extreme value theory, and it is computed from observed …
Persistent link: https://www.econbiz.de/10013100653
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …
Persistent link: https://www.econbiz.de/10014236052
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An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
McGhee, William A - 2018
stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …
Persistent link: https://www.econbiz.de/10012907596