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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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Central bank swaps and joint exchange rate interventions rescued global finance in 1982 - 85, again in 2006 - 09 : historical, laboratory and theoretical evidence for a single curr...
Pope, Robin; Selten, Reinhard - In: Stabilising an unequal economy? : public debt, …, (pp. 245-277). 2011
Persistent link: https://www.econbiz.de/10009426393
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Risk aversion heterogeneity and the investment-uncertainty relationship : a closed-form formulation
Femminis, Gianluca - In: Rivista internazionale di scienze sociali 122 (2014) 3, pp. 275-300
Persistent link: https://www.econbiz.de/10010483874
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Heterogeneous beliefs and the cross-section of asset returns
He, Xue-zhong; Shi, Lei - 2012
Persistent link: https://www.econbiz.de/10009564462
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Forecast evaluation in the presence of unobserved volatility
Christodoulakis, George A.; Satchell, Stephen - In: Econometric reviews 23 (2004) 3, pp. 175-198
Persistent link: https://www.econbiz.de/10002263007
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Recursive utility, endogenous growth, and the welfare cost of volatility
Epaulard, Anne; Pommeret, Aude - In: Review of economic dynamics 6 (2003) 3, pp. 672-684
Persistent link: https://www.econbiz.de/10001777514
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Einfluss subjektiver Erwartungen auf endogene Wertpapierpreise in Ökonomien überlappender Generationen
Deutscher, Nicole - 2003
Persistent link: https://www.econbiz.de/10003402362
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Recursive utility, endogenous growth, and the welfare cost of volatility
Epaulard, Anne; Pommeret, Aude - 2001
Persistent link: https://www.econbiz.de/10001568768
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Radner equilibria under ambiguous volatility
Beißner, Patrick - 2013
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...
Persistent link: https://www.econbiz.de/10010212527