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Optionsbewertung und Risikomessung mit impliziten Binomialbäumen

Neumann, Marco - 1999

Persistent link: https://www.econbiz.de/10001374429

The impacts of kurtosis on risk stationarity : some empirical evidence

Lee, Cheng F. - In: The financial review : the official publication of the … 20 (1985) 4, pp. 263-269

Persistent link: https://www.econbiz.de/10001014875

Options-pricing formula with disaster risk

Barro, Robert J.; Liao, Gordon Y. - 2016

Persistent link: https://www.econbiz.de/10011432216

Risk estimation of CSI 300 index spot and futures in China from a new perspective

Suo, Yuan-Yuan; Wang, Dong-Hua; Li, Sai-Ping - In: Economic modelling 49 (2015), pp. 344-353

Persistent link: https://www.econbiz.de/10011439587

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172

The wealth distribution in Bewley economies with capital income risk

Benhabib, Jess; Bisin, Alberto; Zhu, Shenghao - In: Journal of economic theory 159 (2015), pp. 489-515

Persistent link: https://www.econbiz.de/10011549136

The tail risk premia of the carry trades

Dupuy, Philippe - In: Journal of international money and finance 59 (2015), pp. 123-145

Persistent link: https://www.econbiz.de/10011478289

A rejoinder to O'Donnell's critique of the ergodic/nonergodic explanation of Keyne's concept of uncertainty

Davidson, Paul - In: Journal of post-Keynesian economics : JPKE 38 (2015) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011482283

Nonparametric bootstrap tests for independence of generalized errors

Du, Zaichao - In: The econometrics journal 19 (2016) 1, pp. 55-83

Persistent link: https://www.econbiz.de/10011487609

Skewness and the relation between risk and return

Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609

Persistent link: https://www.econbiz.de/10011502439