//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~accessRights:"free"
~isPartOf:"SFB 649 discussion paper"
~subject:"CAPM"
~subject:"Volatilität"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"PRICING"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
CAPM
Volatilität
Option pricing theory
53
Optionspreistheorie
53
Theorie
38
Theory
38
Estimation
16
Schätzung
16
Stochastic process
16
Stochastischer Prozess
16
Volatility
16
Nichtparametrisches Verfahren
14
Nonparametric statistics
14
Derivat
11
Derivative
11
Weather
10
Wetter
10
Estimation theory
8
Schätztheorie
8
Deutschland
7
Germany
7
Regression analysis
6
Regressionsanalyse
6
Statistical distribution
6
Statistische Verteilung
6
Börsenkurs
5
Option trading
5
Optionsgeschäft
5
Preismanagement
5
Pricing strategy
5
Risikoprämie
5
Risk premium
5
Share price
5
Time series analysis
5
Yield curve
5
Zeitreihenanalyse
5
Zinsstruktur
5
Finanzmathematik
4
Forecasting model
4
Hedonic price index
4
more ...
less ...
Online availability
All
Free
Type of publication
All
Book / Working Paper
24
Type of publication (narrower categories)
All
Arbeitspapier
23
Working Paper
23
Graue Literatur
15
Non-commercial literature
15
Language
All
English
24
Author
All
Härdle, Wolfgang
10
Reiß, Markus
5
Belomestny, Denis
4
Fengler, Matthias R.
3
Bocart, Fabian Y. R. P.
2
Detlefsen, Kai
2
Hafner, Christian M.
2
Uhlig, Harald
2
Bibinger, Markus
1
Borak, Szymon
1
Chen, Cathy Yi-Hsuan
1
Chiang, Thomas C.
1
Gentle, James E.
1
Giacomini, Enzo
1
Handel, Michael
1
Hautsch, Nikolaus
1
Hong, Zhiwu
1
Horst, Ulrich
1
Janek, Agnieszka
1
Kluge, Tino
1
Kupper, Michael
1
Macrina, Andrea
1
Mainberger, Christoph
1
Malec, Peter
1
Mammen, Enno
1
Matthew, Stanley
1
Mysickova, Alena
1
Nasekin, Sergey
1
Osipenko, Maria
1
Schoenmakers, John
1
Strohsal, Till
1
Tauchen, George Eugene
1
Todorov, Viktor
1
Weron, Rafał
1
Wystup, Uwe
1
more ...
less ...
Published in...
All
SFB 649 discussion paper
NBER working paper series
384
NBER Working Paper
288
Working paper / National Bureau of Economic Research, Inc.
149
Research paper series / Swiss Finance Institute
94
Journal of risk and financial management : JRFM
64
Risks : open access journal
56
Swiss Finance Institute Research Paper
55
Discussion paper / Tinbergen Institute
54
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
54
Finance and economics discussion series
49
Staff working paper / Bank of Canada
44
CREATES research paper
43
Working paper
42
CESifo working papers
41
Cogent economics & finance
34
Staff reports / Federal Reserve Bank of New York
34
Fisher College of Business working paper series
33
International journal of economics and financial issues : IJEFI
30
Working paper / Centre for Financial Research
27
Working papers / Rodney L. White Center for Financial Research
27
SAFE working paper
26
Working paper series / European Central Bank
26
Discussion paper
25
Working papers / Federal Reserve Bank of Atlanta
25
International Journal of Financial Studies : open access journal
24
Working papers on finance
24
Discussion paper / Department of Business and Management Science
21
FEDS Working Paper
21
Dissertation Series CentER
20
Discussion paper / LSE Financial Markets Group
19
IFA working paper
18
IMF working papers
18
ECB Working Paper
17
LEM working paper series
17
Quantitative finance
17
Financial innovation : FIN
16
Working paper series
16
Working papers
16
Discussion papers in economics
15
more ...
less ...
Source
All
ECONIS (ZBW)
24
Showing
1
-
10
of
24
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Dynamic valuation of weather derivatives under default risk
Härdle, Wolfgang
;
Osipenko, Maria
-
2017
risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for
pricing
baskets of …
Persistent link: https://www.econbiz.de/10011598925
Saved in:
2
Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
-
2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
Saved in:
3
Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
-
2011
-based asset
pricing
are used to model the endogenous asset price dynamics and the terminal payoff. Semi-explicit
pricing
formulae …
pricing
; implied volatility. …
Persistent link: https://www.econbiz.de/10009379446
Saved in:
4
Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus
;
Todorov, Viktor
;
Tauchen, George Eugene
-
2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
Saved in:
5
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010412428
Saved in:
6
Testing the preferred-habitat theory : the role of time-varying risk aversion
Strohsal, Till
-
2013
This paper examines the preferred-habitat theory under time-varying risk aversion. The predicted positive relation between the term spread and relative supply of longer-term debt is stronger when risk aversion is high. To capture this effect, a time-varying coefficient model is introduced and...
Persistent link: https://www.econbiz.de/10010127819
Saved in:
7
Modeling asset prices
Gentle, James E.
;
Härdle, Wolfgang
-
2010
, the rate of return, over some interval of time. The purpose of asset
pricing
models is not for prediction of future prices …
Persistent link: https://www.econbiz.de/10003973644
Saved in:
8
Explaining asset prices with external habits and wage rigidities in a DSGE model
Uhlig, Harald
-
2007
-
This version: March 27, 2007
pricing
implications as well as the macroeconomic implications seems to be much harder. …-sensitive dimensions of their preferences against aggregate risk. Thus, the literature on generating both asset
pricing
facts as well as …, if τ > τ = (1− ¯N)κ/( ¯N(κ + 1)). 2.2 Asset
pricing
constraints Let Rt+1 be the return on some asset between period t and …
Persistent link: https://www.econbiz.de/10010237156
Saved in:
9
Explaining asset prices with external habits and wage rigidities in a DSGE model
Uhlig, Harald
(
contributor
)
-
2007
-sensitive dimensions of their preferences against aggregate risk. Thus, the literature on generating both asset
pricing
facts as well as …, if τ > τ = (1− ¯N)κ/( ¯N(κ + 1)). 2.2 Asset
pricing
constraints Let Rt+1 be the return on some asset between period t and … t+1. The Lucas asset
pricing
equation is 1 = βEt bracketleftBiggλ t+1 λt Rt+1 bracketrightBigg (22) 6 where λt = uc …
Persistent link: https://www.econbiz.de/10003422685
Saved in:
10
Spectral calibration of exponential Lévy
Belomestny, Denis
(
contributor
);
Reiß, Markus
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003329635
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->