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~isPartOf:"SFB 649 discussion paper"
~subject:"CAPM"
~subject:"Volatilität"
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CAPM
Volatilität
Option pricing theory
54
Optionspreistheorie
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16
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16
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Härdle, Wolfgang
10
Reiß, Markus
5
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4
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3
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2
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2
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1
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1
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1
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1
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1
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SFB 649 discussion paper
NBER working paper series
410
Journal of banking & finance
358
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350
Journal of financial economics
347
NBER Working Paper
288
The journal of finance : the journal of the American Finance Association
271
Finance research letters
252
International journal of theoretical and applied finance
240
The review of financial studies
237
Journal of economic dynamics & control
204
Journal of empirical finance
182
The journal of futures markets
164
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156
International review of financial analysis
155
Mathematical finance : an international journal of mathematics, statistics and financial theory
153
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137
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134
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134
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123
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121
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119
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114
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113
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110
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92
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92
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87
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84
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79
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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78
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ECONIS (ZBW)
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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
(
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:
9
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:
10
Spectral calibration of exponential Lévy
Belomestny, Denis
(
contributor
);
Reiß, Markus
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003329635
Saved in:
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