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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
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The Impact of Oil Price Shocks on the US Stock Market : A Note on the Roles of US and Non-US Oil Production
Kang, Wensheng - 2016
.S. stock prices. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply …Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes … in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light …
Persistent link: https://www.econbiz.de/10012989373
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The impact of oil price shocks on the US stock market : a note on the roles of US and non-US oil production
Kang, Wensheng; Ratti, Ronald A.; Vespignani, Joaquin - 2017
Persistent link: https://www.econbiz.de/10011710753
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Bank credit tightening, debt market frictions and corporate yield spread
Massa, Massimo; Zhang, Lei - 2015
Persistent link: https://www.econbiz.de/10010533079
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Higher order Greeks
Ederington, Louis H.; Guan, Wei - In: The journal of derivatives : the official publication … 14 (2007) 3, pp. 7-34
Persistent link: https://www.econbiz.de/10003447122
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The impacts of index options on the underlying stocks : the case of the S&P 100
Liu, Shinhua - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1034-1046
Persistent link: https://www.econbiz.de/10003873836
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Does WTI oil price returns volatility spillover to the exchange rate and stock index in the US?
Wei, Ching Chun; Chen, Chung-Hsuan - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 2, pp. 189-197
Persistent link: https://www.econbiz.de/10011286260
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Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662
Persistent link: https://www.econbiz.de/10011550607
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S&P 500 index-futures price jumps and macroeconomic news
Miao, Hong; Ramchander, Sanjay; Zumwalt, J. Kenton - In: The journal of futures markets 34 (2014) 10, pp. 980-1001
Persistent link: https://www.econbiz.de/10010508683