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Impact of volatility clustering on equity indexed annuities
Hainaut, Donatien - In: Insurance / Mathematics & economics 71 (2016), pp. 367-381
Persistent link: https://www.econbiz.de/10011630885
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Excess volatility : beyond discount rates
Giglio, Stefano; Kelly, Bryan T. - 2016
Persistent link: https://www.econbiz.de/10011451780
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Excess volatility : beyond discount rates
Giglio, Stefano; Kelly, Bryan T. - In: The quarterly journal of economics 133 (2018) 1, pp. 71-127
Persistent link: https://www.econbiz.de/10012036812
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...
Persistent link: https://www.econbiz.de/10013363078
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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000126342
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A GARCH model of the implied volatility of the Swiss market index from option prices
Sabbatini, Michael - In: International journal of forecasting 14 (1998) 2, pp. 199-213
Persistent link: https://www.econbiz.de/10001338711
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Forecasting stock market volatility and information content of implied volatility index
Pati, Pratap Chandra; Barai, Parama; Rajib, Prabina - In: Applied economics 50 (2018) 23, pp. 2552-2568
Persistent link: https://www.econbiz.de/10011850295
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
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Derivative Instrumente auf Volatilitäten an Aktien- und Optionsmärkten : eine theoretische und empirische Untersuchung
Henn, Eric Tobias - 2001
Persistent link: https://www.econbiz.de/10001768552
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Index option market activity and cash market volatility under different market conditions : an empirical study from Sweden
Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 11-41). 2000
Persistent link: https://www.econbiz.de/10001509964