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Understanding asset prices : an overview ; 2006 Autumn Meeting of Central Banks Economists
Hördahl, Peter; Packer, Frank - 2007
Persistent link: https://www.econbiz.de/10003462349
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What ties return volatilities to price valuations and fundamentals?
David, Alexander; Veronesi, Pietro - 2009
Persistent link: https://www.econbiz.de/10003916108
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A stochastic processes toolkit for risk management : mean reverting processes and jumps
Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 3 (2009/10) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10003939684
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Forecasting increases in the VIX : a timevarying long volatility hedge for equities
Clements, Adam; Fuller, Joanne - 2012
Persistent link: https://www.econbiz.de/10009665912
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Volatility in the Indian stock market : a case of individual securities
Kumar, Raj; Gupta, Hariom - In: Journal of academic research in economics 1 (2009) 1, pp. 34-45
Persistent link: https://www.econbiz.de/10008758215
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"Smoothing" versus "timeliness" - wann sind stabile Ratings optimal und welche Anforderungen sind an optimale Berichtsregeln zu stellen?
Bannier, Christina E. (contributor) - 2007
Im Mittelpunkt dieser Arbeit steht die Analyse der Vor- und Nachteile einer geglätteten versus aktuellen Informationsbasis in einem theoretischen Modell. Am Beispiel stabiler Agency-Ratings und volatiler marktbasierter Ratings zeigt sich, dass die Effekte der Berichtsmethode von den...
Persistent link: https://www.econbiz.de/10003750304
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Variance of ADR returns : information effect and influence of trading in the US market
Park, Jinwoo - In: International review of economics & finance : IREF 4 (1995) 2, pp. 105-114
Persistent link: https://www.econbiz.de/10001188910
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Investor sentiment and risk appetite of real estate security market
Hui, Eddie Chi Man; Zheng, Xian; Wang, Hui - In: Applied economics 45 (2013) 19/21, pp. 2801-2807
Persistent link: https://www.econbiz.de/10010189350
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What Ties Return Volatilities to Price Valuations and Fundamentals?
David, Alexander - 2009
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...
Persistent link: https://www.econbiz.de/10012463086
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What Ties Return Volatilities to Price Valuations and Fundamentals?
David, Alexander - 2010
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...
Persistent link: https://www.econbiz.de/10013149979