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Structural analysis of portfolio risk using beta impulse response functions

Hafner, Christian M.; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992252

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001413478

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001568288

Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications

Hafner, Christian M.; Herwartz, Helmut - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 93-112

Persistent link: https://www.econbiz.de/10001476791

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460