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Measuring short-term risk of initial public offering of equity securities : a hybrid Bayesian and Data-Envelopment-Analysis-based approach

Sorkhi, Shabnam; Paradi, Joseph C. - In: Data envelopment analysis, 40 years on : a special issue, (pp. 733-753). 2020

Persistent link: https://www.econbiz.de/10012232816

Who holds risky assets and how much? : an empirical study based on the HFCS data

Zhan, Jun Chao - In: Empirica : journal of european economics 42 (2015) 2, pp. 323-370

Persistent link: https://www.econbiz.de/10011318341

Effect of the time to maturity on the risk of the covered call strategy

Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020

values of the ratios delta, gamma, vega, theta, and rho. These ratios are the risk measures and are very important in risk … management of the option transactions. They determine the influence of changes in the risk factor on the price of the option. The … aim of this study is to present an analysis of the effect of the time to expiration on the value and the risk of the …

Persistent link: https://www.econbiz.de/10012793374

A network approach to risk theory and portfolio selection

Cerqueti, Roy; Lupi, Claudio - In: Mathematical and statistical methods for actuarial …, (pp. 73-82). 2017

Persistent link: https://www.econbiz.de/10012098764

Uncertainty in historical value-at-risk : an alternative quantile-based risk measure

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Mathematical and statistical methods for actuarial …, (pp. 119-128). 2017

Persistent link: https://www.econbiz.de/10012098775

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

Persistent link: https://www.econbiz.de/10012425011

An investigation into sentiment-induced institutional trading behavior and asset pricing in the REIT market

Das, Prashant K.; Freybote, Julia; Marcato, Gianluca - In: The journal of real estate finance and economics 51 (2015) 2, pp. 160-189

Persistent link: https://www.econbiz.de/10011474980

Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?

Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108

Persistent link: https://www.econbiz.de/10010465138

The BSS-FM estimation of international assets allocation for China Mainland investors

Tang, Xuan; Gao, Xing; Zhou, Qiuping; Ma, Jian - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1224-1236

Persistent link: https://www.econbiz.de/10012211536

Markowitz portfolio theory and capital asset pricing model for Kuala Lumpur stock exchange : a case revisited

Lee, Hui-Shan; Cheng, Fan Fah; Chong, Shyue Chuan - In: International journal of economics and financial issues … 6 (2016) 3, pp. 59-65

Persistent link: https://www.econbiz.de/10011781510

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