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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1997
Persistent link: https://www.econbiz.de/10000975624
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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1997
Persistent link: https://www.econbiz.de/10000976110
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Efficiency wages and futures markets
Broll, Udo; Kit, Pong Wong - 1999
Persistent link: https://www.econbiz.de/10001362997
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The impact of inflation risk on forward trading and production
Broll, Udo; Kit, Pong Wong - 2014
This note examines the behavior of a competitive firm that faces joint price and inflation risk. Given that the price risk is negatively correlated with the inflation risk in the sense of expectation dependence, the firm optimally opts for an overhedge if the firm's coefficient of relative risk...
Persistent link: https://www.econbiz.de/10011521691
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Futures hedging with basis risk and expectation dependence
Broll, Udo; Welzel, Peter; Kit, Pong Wong - In: International review of economics : journal of civil economy 62 (2015) 3, pp. 213-221
Persistent link: https://www.econbiz.de/10011391637
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Export and hedging decisions under correlated revenue and exchange rate risk
Kit, Pong Wong - In: Bulletin of economic research 67 (2015) 4, pp. 371-381
Persistent link: https://www.econbiz.de/10011396488
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The tradability premium on the S&P 500 Index
Gouriéroux, Christian; Jasiak, Joann; Xu, Peng - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 461-495
Persistent link: https://www.econbiz.de/10011623634
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Efficiency in large dynamic panel models with common factors
Gagliardini, Patrick; Gouriéroux, Christian - In: Econometric theory 30 (2014) 5, pp. 961-1020
Persistent link: https://www.econbiz.de/10010502133
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The impact of inflation risk on forward trading and production
Broll, Udo; Kit, Pong Wong - In: Portuguese economic journal 14 (2015) 1/3, pp. 65-73
Persistent link: https://www.econbiz.de/10011446101
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Hedging, liquidity, and the competitive firm under price uncertainty
Kit, Pong Wong - In: The journal of futures markets 24 (2004) 7, pp. 697-706
Persistent link: https://www.econbiz.de/10002108822