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Spontaneous volatility : fooled by reflexive randomness
Schotanus, Patrick; Schurger, Aaron - In: The journal of behavioral finance : a publication of … 22 (2021) 2, pp. 201-213
Persistent link: https://www.econbiz.de/10012514173
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Quadratic variation of financial asset prices : theoretical approaches and empirical evidence on power derivatives
Schulz, Frowin C. - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009125766
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Pricing of derivatives on mean-reverting assets
Lutz, Björn - 2010
the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as …
Persistent link: https://www.econbiz.de/10003846466
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as …
Persistent link: https://www.econbiz.de/10013522771
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Intergenerational complementarities in education and the relationship between growth and volatility
Palybos, Theodōros (contributor);  … - 2009
We construct an overlapping generations model in which parents vote on the tax rate that determines publicly provided education and offspring choose their effort in learning activities. The technology governing the accumulation of human capital allows these decisions to be strategic complements....
Persistent link: https://www.econbiz.de/10003885849
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A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: European journal of operational research : EJOR 203 (2010) 1, pp. 166-175
Persistent link: https://www.econbiz.de/10003928191
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Intergenerational complementarities in education, endogenous public policy, and the relation between growth and volatility
Palybos, Theodōros; Varvarigos, Dimitrios - In: Journal of public economic theory 15 (2013) 2, pp. 249-272
Persistent link: https://www.econbiz.de/10009759736
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Volatility as a Choice
Dudek, Maciej Konrad - 2013
aggregate volatility. Fully rational and risk averse economic agents expect macro-level dynamics to be characterized by a …
Persistent link: https://www.econbiz.de/10013082991
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Optimism, Volatility and Decision-Making in Stock Markets
Rocciolo, Francesco - 2018
In this paper we introduce a new, analytically tractable model for decision-making under risk in which psychological … even the simplest, such as expected utility theory, able to describe the behavior of decision-makers within a more … characteristics related to the degree of optimism or pessimism of the decision-maker are considered. The model we propose, which is …
Persistent link: https://www.econbiz.de/10012933671
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Optimism, volatility and decision-making in stock markets
Rocciolo, Francesco; Gheno, Andrea; Brooks, Chris - In: International review of financial analysis 66 (2019), pp. 1-11
Persistent link: https://www.econbiz.de/10012208885