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On volatility smile and an investment strategy with out-of-the-money calls

Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125

Persistent link: https://www.econbiz.de/10011485897

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

Persistent link: https://www.econbiz.de/10011555439

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Predictability of time-varying jump premiums : evidence based on calibration

Wang, Kent; Guo, Yuqiang - In: Australian journal of management 39 (2014) 3, pp. 369-394

Persistent link: https://www.econbiz.de/10010422038

The economic value of realized volatility : using high-frequency returns for option valuation

Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697

Persistent link: https://www.econbiz.de/10010487742

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

Speculative dynamics and price behavior in the Shanghai Stock Exchange

Koutmos, Dimitrios; Song, Wei - In: Research in international business and finance 31 (2014), pp. 74-86

Persistent link: https://www.econbiz.de/10010434017