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Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10014576152

A Note on the Interrelation of Volatility Puzzle, Equity Premium Puzzle, and Mean Reversion through State Dependent Preferences

Choi, SungSup - 2014

dependent preference structure where the state dependency is related to the business cycle. In this setting the volatility …

Persistent link: https://www.econbiz.de/10013061116

Betting on Mean Reversion in the VIX? Evidence From the Revealed Preferences of Investors

Nielsen, Ole Linnemann - 2020

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …

Persistent link: https://www.econbiz.de/10012842630

A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data

Lejay, Antoine; Pigato, Paolo - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012030906

The economic value of VIX ETPs

Christensen, Kim; Christiansen, Charlotte; Posselt, … - In: Journal of empirical finance 58 (2020), pp. 121-138

Persistent link: https://www.econbiz.de/10012430667

Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577

Persistent link: https://www.econbiz.de/10014392946

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...