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~subject:"Volatilität"
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Internet Appendix for 'Liquidi...
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Subject
All
Volatilität
Finanzkrise
59,076
Financial crisis
58,802
Theorie
28,607
Theory
27,923
Welt
23,214
World
22,819
Messung
22,546
Measurement
22,332
Internet
21,824
Risikoprämie
12,437
USA
12,317
Risk premium
12,305
United States
11,735
Schätzung
10,614
Estimation
10,167
Geldpolitik
10,090
Börsenkurs
9,948
Monetary policy
9,886
EU-Staaten
9,787
Share price
9,721
EU countries
9,503
Kapitaleinkommen
8,840
Wirtschaftskrise
8,814
Capital income
8,793
Economic crisis
8,493
Volatility
7,496
Finanzmarkt
7,003
Financial market
6,849
Devisenmarkt
6,339
Internationaler Finanzmarkt
6,335
Aktienmarkt
6,268
Risiko
6,209
Stock market
6,194
Risk
6,192
International financial market
6,181
Deutschland
6,052
Foreign exchange market
5,999
Portfolio-Management
5,914
CAPM
5,901
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Online availability
All
Free
4,306
Undetermined
1,458
Type of publication
All
Book / Working Paper
4,541
Article
2,951
Type of publication (narrower categories)
All
Article in journal
2,792
Aufsatz in Zeitschrift
2,792
Working Paper
1,465
Graue Literatur
1,321
Non-commercial literature
1,321
Arbeitspapier
1,261
Aufsatz im Buch
151
Book section
151
Hochschulschrift
84
Thesis
59
Collection of articles written by one author
25
Sammlung
25
Collection of articles of several authors
20
Sammelwerk
20
Conference paper
14
Konferenzbeitrag
14
Aufsatzsammlung
11
Bibliografie enthalten
8
Bibliography included
8
Systematic review
7
Übersichtsarbeit
7
Article
6
Konferenzschrift
6
Amtsdruckschrift
3
Government document
3
Case study
2
Conference proceedings
2
Dissertation u.a. Prüfungsschriften
2
Fallstudie
2
Diskette
1
Doctoral Thesis
1
Floppy disk
1
Handbook
1
Handbuch
1
Mehrbändiges Werk
1
Multi-volume publication
1
Proceedings
1
Reprint
1
Wörterbuch
1
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Language
All
English
7,418
German
60
French
9
Italian
3
Spanish
3
Polish
2
Author
All
Caporale, Guglielmo Maria
84
McAleer, Michael
54
Spagnolo, Nicola
54
Bollerslev, Tim
42
Kočenda, Evžen
38
Bekaert, Geert
33
Todorov, Viktor
29
Diebold, Francis X.
28
Gupta, Rangan
27
Aizenman, Joshua
25
Beirne, John
25
Lux, Thomas
24
Spagnolo, Fabio
24
Härdle, Wolfgang
22
Zhou, Hao
22
Hoerova, Marie
21
Sarno, Lucio
20
Schlag, Christian
20
Bansal, Ravi
19
Branger, Nicole
19
Hautsch, Nikolaus
19
Andersen, Torben
18
Chang, Chia-Lin
18
McMillan, David G.
18
Prokopczuk, Marcel
18
Caballero, Ricardo J.
17
Engle, Robert F.
17
Hammoudeh, Shawkat
17
Yılmaz, Kamil
17
Leippold, Markus
16
Melvin, Michael
16
Yaron, Amir
16
Andersen, Torben G.
15
Ben Omrane, Walid
15
Jacobs, Kris
15
Tauchen, George Eugene
15
Trojani, Fabio
15
Baruník, Jozef
14
Krishnamurthy, Arvind
14
Pierdzioch, Christian
14
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Institution
All
National Bureau of Economic Research
76
Institut für Schweizerisches Bankwesen <Zürich>
15
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
9
Swiss National Centre of Competence in Research North South <Bern>
7
Universität <Münster, Westfalen> / Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung
5
National Centre of Competence in Research - Financial Valuation and Risk Management
4
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
Federal Reserve Bank of New York
3
University <Nottingham> / Department of Economics
3
International Monetary Fund
2
National Centre of Competence in Research North South <Bern>
2
National Centre of Competence in ResearchFinancial Valuation and Risk Management
2
New Trends in Asset Management: Exploring the Implications <Veranstaltung> <2008, München>
2
Alfred-Weber-Institut für Sozial- und Staatswissenschaften <Heidelberg>
1
Asian Development Bank
1
Asian Regional Exchange for New Alternatives
1
Brookings Institution
1
Business Information Centre <Toronto>
1
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification <Paris>
1
Centre for International Macroeconomics
1
Danmarks Nationalbank
1
Ecole des hautes études commerciales <Montréal> / Institut d'économie appliquée
1
Edmund-Rehwinkel-Stiftung
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Federal Reserve Bank of St. Louis
1
Frankfurt School of Finance and Management
1
Georgetown University / Economics Department
1
Goethe-Universität Frankfurt am Main
1
Gottfried Wilhelm Leibniz Universität Hannover
1
Handelshøyskolen BI
1
Hong Kong Institute for Monetary and Financial Research
1
Hongkong / Monetary Authority
1
Humboldt-Universität zu Berlin
1
International Center for Financial Asset Management and Engineering <Genève>
1
Internationaler Währungsfonds
1
Johns Hopkins University / Department of Economics
1
Landwirtschaftliche Rentenbank
1
Leibniz-Institut für Wirtschaftsforschung Halle
1
Massachusetts Institute of Technology / Department of Economics
1
Melbourne Institute of Applied Economic and Social Research
1
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Published in...
All
Finance research letters
94
Journal of banking & finance
81
CESifo working papers
77
NBER working paper series
74
Working paper / National Bureau of Economic Research, Inc.
71
International review of economics & finance : IREF
70
International review of financial analysis
69
Research paper series / Swiss Finance Institute
69
Journal of international financial markets, institutions & money
60
Journal of financial economics
59
NBER Working Paper
58
Journal of international money and finance
57
Journal of risk and financial management : JRFM
57
Economic modelling
56
Swiss Finance Institute Research Paper
51
The North American journal of economics and finance : a journal of financial economics studies
51
Research in international business and finance
47
Applied economics
45
Energy economics
45
Discussion paper / Tinbergen Institute
42
Working paper
40
CESifo Working Paper
37
Journal of empirical finance
35
The journal of futures markets
35
Cogent economics & finance
34
Pacific-Basin finance journal
34
CESifo Working Paper Series
33
Working Paper
32
Applied financial economics
31
Applied economics letters
28
Discussion paper / Centre for Economic Policy Research
27
ECB Working Paper
27
Journal of econometrics
27
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
27
Journal of financial markets
26
Journal of economic dynamics & control
25
The journal of finance : the journal of the American Finance Association
24
Staff reports / Federal Reserve Bank of New York
23
The review of financial studies
23
International journal of finance & economics : IJFE
22
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Source
All
ECONIS (ZBW)
7,222
EconStor
212
USB Cologne (business full texts)
54
USB Cologne (EcoSocSci)
2
ArchiDok
1
RePEc
1
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1
The Cross-Section of Currency Volatility Premia
Della Corte, Pasquale
-
2019
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
Saved in:
2
Systematic Currency Volatility Risk Premia
Bang Nielsen, Andreas
-
2018
I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The dollar factor volatility risk premium is negative...
Persistent link: https://www.econbiz.de/10012920214
Saved in:
3
Variance risk premiums in foreign exchange markets
Ammann, Manuel
;
Buesser, Ralf
-
2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
Saved in:
4
Dissecting Volatility Risks in Currency Markets
Nolte, Ingmar
-
2015
We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade returns, while jump volatility is important in jointly...
Persistent link: https://www.econbiz.de/10013012552
Saved in:
5
Risk and Return Spillovers Among the G10 Currencies
Greenwood-Nimmo, Matthew
-
2016
We study spillovers among daily returns and innovations in option-implied risk-neutral volatility and skewness of the G10 currencies. An empirical network model uncovers substantial time variation in the interaction of risk measures and returns, both within and between currencies. We find that...
Persistent link: https://www.econbiz.de/10012999212
Saved in:
6
Volatility connectedness on the Central European forex markets
Albrecht, Peter
;
Kočenda, Evžen
-
2023
We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We assess asymmetries in connectedness (not investigated for CE currencies before) and document domination of the negative...
Persistent link: https://www.econbiz.de/10014414188
Saved in:
7
FX Market Returns and Their Relationship to Investor Fear
Smales, Lee A.
-
2016
This note examines the relationship between changes in levels of investor fear (measured by VIX) and FX market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in VIX, while the association is positive...
Persistent link: https://www.econbiz.de/10013001940
Saved in:
8
Realized Illiquidity
Lacava, Demetrio
;
Ranaldo, Angelo
;
Santucci de …
-
2022
Amihud provides a precise
measurement
of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week …
Persistent link: https://www.econbiz.de/10014238265
Saved in:
9
Transmission of the Financial and Sovereign Debt Crises to the EMU : Stock Prices, CDs Spreads and Exchange Rates
Vermeulen, Robert
-
2011
This paper tests for the transmission of the 2007-2010 financial and sovereign debt crises to fifteen EMU countries. We use daily data from 2003 to 2010 on country financial and non-financial stock market indexes. First, we find strong evidence of crisis transmission to European non-financials...
Persistent link: https://www.econbiz.de/10013130545
Saved in:
10
Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets : A Markov Switching EGARCH Approach
Khallouli, Wajih
-
2010
In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than...
Persistent link: https://www.econbiz.de/10013137463
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