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Implied volatility duration and the early resolution premium

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Persistent link: https://www.econbiz.de/10012665341

Endogenous indeterminacy and volatility of asset prices under ambiguity

Mandler, Michael - In: Theoretical economics : TE ; journal of the Econometric … 8 (2013) 3, pp. 729-750

Persistent link: https://www.econbiz.de/10010207658

Estimating stochastic volatility : the rough side to equityreturns

Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469

Persistent link: https://www.econbiz.de/10012127236

Endogenous indeterminacy and volatility of asset prices under ambiguity

Mandler, Michael - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 3, pp. 729-750

volatility of asset prices: small changes in supplies necessarily lead to a big price response. …

Persistent link: https://www.econbiz.de/10011685225

Three essays on behavioural finance

Hemmens, Christopher - 2017

The fact that human economic behaviour has a significant irrational element - one that is simultaneously hard-to-explain and highly predictable - has fascinated economists for decades from Fechner, 1860 to Shiller, 2005 and beyond. In this dissertation, I investigate the field from various...

Persistent link: https://www.econbiz.de/10011948369

Nonlinear intermediary pricing in the oil futures market

Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …

Persistent link: https://www.econbiz.de/10011790776