Option-implied Value-at-Risk and the cross-section of stock returns
Manuel Ammann, Alexander Feser
| Year of publication: |
2019
|
|---|---|
| Authors: | Ammann, Manuel ; Feser, Alexander |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 22.2019, 3, p. 449-474
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| Subject: | Option-implied moments | Option-implied skewness | Downside risk | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Kapitalmarktrendite | Capital market returns | Risikoprämie | Risk premium | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-019-09154-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012311843