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Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices

Äijö, Janne - In: Global finance journal 18 (2008) 3, pp. 290-302

Persistent link: https://www.econbiz.de/10003711871

Essays in financial economics

Lu, Yinqiu - 2005

Persistent link: https://www.econbiz.de/10003553447

The role of stock markets vs. the term spread in forecasting macrovariables in Finland

Kuosmanen, Petri; Vataja, Juuso - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 124-132

Persistent link: https://www.econbiz.de/10009270178

Stock market fluctuations and the term structure

Zhou, Chunsheng - 1996

Persistent link: https://www.econbiz.de/10000930617

The Leverage Effect and the Basket-Index Put Spread

Bai, Jennie - 2018

Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that...

Persistent link: https://www.econbiz.de/10012933928

What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis

Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402

Persistent link: https://www.econbiz.de/10011656925

The Term Structure of Interest Rates as Predictor of Stock Market Volatility

Megaritis, Anastasios; Kontonikas, Alexandros; … - 2022

We examine the forecasting power of the volatility of the slope of the US-Treasury yield curve on US stock …-market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of … interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from one up to …

Persistent link: https://www.econbiz.de/10013492394

Macroeconomic news and stock-bond comovement

Duffee, Greg - In: Review of finance : journal of the European Finance … 27 (2023) 5, pp. 1859-1882

Persistent link: https://www.econbiz.de/10014391611

Portfolio insurance - CPPI im Vergleich zu anderen Strategien

Uhlmann, Roger - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003639924

Investment strategy for the long term

Sharpe, William F. - 2008

Persistent link: https://www.econbiz.de/10003764423