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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

CVA with wrong way risk : sensitivities, volatility and hedging

El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403747

What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences

Figlewski, Stephen - 2019

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives the market's forecast of future empirical volatility....

Persistent link: https://www.econbiz.de/10012902982

Volatility of price indices for heterogeneous goods with applications to the fine art market

Bocart, Fabian Y. R.; Hafner, Christian M. - In: Journal of applied econometrics 30 (2015) 2, pp. 291-312

Persistent link: https://www.econbiz.de/10011327602

Volatility of price indices for heterogeneous goods

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

Persistent link: https://www.econbiz.de/10009540165

Hedonic pricing models and residual house price volatility

Lisi, Gaetano - In: Letters in spatial and resource sciences : LSRS 12 (2019) 2, pp. 133-142

Persistent link: https://www.econbiz.de/10012109680

Spatial dependence, idiosyncratic risk, and the valuation of disaggregated housing data

Simlai, Prodosh - In: The journal of real estate finance and economics 57 (2018) 2, pp. 192-230

Persistent link: https://www.econbiz.de/10012038861

Does VIX scare stocks of tourism companies?

Akdağ, Saffet; Kiliç, İlker; Yildirim, Hakan - In: Letters in spatial and resource sciences : LSRS 12 (2019) 3, pp. 215-232

Persistent link: https://www.econbiz.de/10012152270

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet … GJRGARCH-FFNSs model is the best model for Malaysian tourism demand volatility forecasting accuracy. Furthermore, KLCI and Gold … asymmetry impacts on tourism demand volatility. …

Persistent link: https://www.econbiz.de/10013369139

Forecasting and modelling for the inbound tourism demand volatility

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: International journal of services, economics and management 13 (2022) 3, pp. 282-312

Persistent link: https://www.econbiz.de/10013552602

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