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Essays in asset pricing
Orlowski, Piotr - 2017
Persistent link: https://www.econbiz.de/10011931494
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Essays on variance risk
Gruber, Peter H. - 2015
effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …
Persistent link: https://www.econbiz.de/10011931531
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Handbook of financial time series
Andersen, Torben (ed.); Davis, Richard A. (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003494231
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Treasury market volatility : the unusual price swings of October 15, 2014
Collins, Lewis (ed.) - 2016
Persistent link: https://www.econbiz.de/10011417527
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Modelling stock market volatility : bridging the gap to continuous time
Rossi, Peter E. (ed.) - 1996
Persistent link: https://www.econbiz.de/10013475092
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Special issue: Statistical inference on time series stochastic and deterministic dynamics
Dagum, Estela Bee (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003800641
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Special issue: Bayesian dynamic econometrics
Koop, Gary (contributor); Dijk, Herman K. van (contributor) - 2007
Persistent link: https://www.econbiz.de/10003509162
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Econometric analysis of financial derivatives
Chang, Chia-Lin (ed.); McAleer, Michael (ed.) - 2015
Persistent link: https://www.econbiz.de/10011499675
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Three essays inferring prospective and retrospective information based on options trading activities and a new theoretical approach on multivariate subordination of Lévy processes
Crameri, Remo - 2010
It is a well-known and extensively studied phenomenon that market participants in possession of private information actively trade in the stock market. Less known and researched are informed trading activities in the options market. Nevertheless, various incentives such as low initial capital,...
Persistent link: https://www.econbiz.de/10008991645