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Do idiosyncratic jumps matter?
Kapadia, Nishad; Zekhnini, Morad - In: Journal of financial economics 131 (2019) 3, pp. 666-692
Persistent link: https://www.econbiz.de/10012133035
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Unconditional and conditional modeling of non-normal return densities : with application to risk measurement
Chin, Elion - 1999
Persistent link: https://www.econbiz.de/10001402965
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Risk-neutral valuation : pricing and hedging of financial derivatives
Bingham, Nicholas H.; Kiesel, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10008729669
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Risk-neutral valuation : pricing and hedging of financial derivatives
Bingham, Nicholas H.; Kiesel, Rüdiger - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001713043
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Künstliche neuronale Netze zur Risikomessung bei Aktien und Renten : am Beispiel deutscher Lebensversicherungsunternehmen
Rauscher, Markus - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013420595
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Disagreement, Speculation, and the Idiosyncratic Volatility
Jiang, Ying; Pan, Jiening; Wang, Jianqiu; Wu, Ke - 2021
plays an important role in explaining the idiosyncratic volatility (IVOL) puzzle, the correlation among IVOL, market beta …
Persistent link: https://www.econbiz.de/10013234143
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …
Persistent link: https://www.econbiz.de/10010249730