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Stochastic models and option values : applications to resources, environment and investment problems; [Papers presented at a conference organized by the Centre for Applied Research...
Lund, Diderik (ed.); Øksendal, Bernt Karsten (contributor) - 1991
Persistent link: https://www.econbiz.de/10013336845
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The financial economics of sovereign asset value : functional perspectives and market outcomes ; conference paper
Posch, Peter N.; Bowden, Roger J.; Kalteier, Eva-Maria - 2014
The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...
Persistent link: https://www.econbiz.de/10010486036
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Coherent price systems and uncertainty-neutral valuation : conference paper
Beißner, Patrick - 2013 - This version: 28 February, 2013
We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …
Persistent link: https://www.econbiz.de/10010338399
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Papers and proceedings : Fifty-ninth annual meeting, New York, New York January 4-6, 1999 // American Finance Association. Hans R. Stoll, selection ed.
Stoll, Hans R. (contributor) - American Finance Association - 1999
Persistent link: https://www.econbiz.de/10001395744
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Conference on Financial Stability
1993
Persistent link: https://www.econbiz.de/10000960659
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...
Persistent link: https://www.econbiz.de/10010480543
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998
Die Beiträge des Bandes befassen sich mit den Mechanismen der Preisbildung auf den Finanz- und Devisenmärkten. Besonderes Interesse gilt der Rolle von Spekulation und Arbitrage und der sich daraus ergebenden Volatilität der Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die...
Persistent link: https://www.econbiz.de/10011401983
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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper
Strohsal, Till; Weber, Enzo - 2013
In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …
Persistent link: https://www.econbiz.de/10010339937