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Year of publication
Subject
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Volatilität 26 Portfoliomanagement 23 Risikomanagement 23 portfolio management 23 risk management 23 GARCH-Prozess 18 Erwartungstheorie 16 Capital-Asset-Pricing-Modell 15 Portfolio Selection 14 Kreditmarkt 11 Bewertung 10 Kapitalmarkt 9 Prognose 9 Risikoaversion 9 Kapitalstruktur 8 Kreditrisiko 8 Value at Risk 8 capital structure 8 Realoption 7 Term structure model 7 Wechselkurs 7 Zinsstruktur 7 econometrics 7 Ökonometrie 7 Agency-Theorie 6 Diversification gains 6 Diversifikation 6 Incomplete markets 6 Liquidität 6 Unvollkommener Markt 6 Derivate 5 Gleichgewicht 5 Heterogenität 5 Inflation 5 Investition 5 Leverage-Effekt 5 Optionspreistheorie 5 Swap 5 Unsicherheit 5 investition 5
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Online availability
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Free 261
Type of publication
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Book / Working Paper 262
Language
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English German 13
Author
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Hens, Thorsten 20 Leippold, Markus 12 Vanini, Paolo 10 Morellec, Erwan 9 Schenk-Hoppé, Klaus Reiner 9 Danthine, Jean-Pierre 8 De Giorgi, Enrico 8 Woehrmann, Peter 8 Barone-Adesi, Giovanni 7 Paolella, Marc S. 7 Scaillet, Olivier 7 Gibson, Rajna 6 Trojani, Fabio 6 Aghion, Philippe 5 Bacchetta, Philippe 5 Fehr, Ernst 5 Gençay, Ramazan 5 Mancini, Loriano 5 Audrino, Francesco 4 Beber, Alessandro 4 Donaldson, John B. 4 Drobetz, Wolfgang 4 Evstigneev, Igor V. 4 Habib, Michel A. 4 Isakov, Dusan 4 Jaccard, Ivan 4 Nowak, Eric 4 Selçuk, Faruk 4 Söderlind, Paul 4 Tyran, Jean-Robert 4 Ziemba, William T. 4 Zilibotti, Fabrizio 4 Brandt, Michael W. 3 Chambet, Anthony 3 Chesney, Marc 3 Dubois, Michel 3 Fabbri, Daniela 3 Favara, Giovanni 3 Gagliardini, Patrick 3 Hagedorn, Marcus 3
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Institution
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Institut für Schweizerisches Bankwesen <Zürich> Department of Economics and Business, Universitat Pompeu Fabra 1,012 Institute for the Study of Labor (IZA) 871 Faculteit Economie en Bedrijfskunde, Universiteit Gent 580 Federal Reserve Bank of St. Louis 491 Forschungsinstitut zur Zukunft der Arbeit <Bonn> 452 Centre for Economic Performance, LSE 345 London School of Economics and Political Science 325 Department of Economics, Adam Smith Business School 313 DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies 281 Federal Reserve Board (Board of Governors of the Federal Reserve System) 267 Universitat Pompeu Fabra / Departament d'Economia i Empresa 249 Department of Econometrics and Business Statistics, Monash Business School 245 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 243 Edward Elgar Publishing 243 Federal Reserve Bank of San Francisco 226 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 222 Graduate School of Economics, Osaka University 215 School of Economics and Finance, Business School 209 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 208 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 197 Department of Economics, Business School 195 Department of Economics and Finance, College of Business and Economics 174 Economics Section, Cardiff Business School 164 Hamburg Institute of International Economics (HWWA) 162 University of Exeter / Department of Economics 146 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 145 Department of Economics, Ourso College of Business 131 School of Economics and Management, University of Aarhus 129 Rijksuniversiteit Gent / Faculteit Economie en Bedrijfskunde 125 Department of Business Economics and Public Policy, Kelley School of Business 119 Federal Reserve Bank of Atlanta 119 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 112 Department of Accounting, Economics and Finance, Bristol Business School 112 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 112 International Association for the Study of Insurance Economics 107 Centre for Economic Performance 104 William Davidson Institute, University of Michigan 104 Board of Agriculture (Great Britain) 103 Stanford Institute for Economic Policy Research 103
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Published in...
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Working Paper 214 Institut für Schweizerisches Bankwesen Zürich - Working Paper Series 104 Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers 100 Universität Zürich - Institut für schweizerisches Bankwesen 43 Working paper 42 Institut für Schweizerisches Bankenwesen der Universität Zürich - Working Papers 4 Research Paper 4 Institut für Schweizerisches Bankwesen Zürich - Research Paper Series 2 Universität Zürich - Institut für schweizerisches Bankwesen - Publikationen 2 FINRISK Working Paper 1 FINRISK Working paper 1 Institut für Schweizerisches Bankwesen Zürich 1 Paper presented at the 22nd Colloquium on Adapting to Financial Globalisation, 27-29 April 2000 in Vienna 1 Universität Zürich - Department of Banking and Financt - Publications 1 Universität Zürich - Institut für Schweizerisches Bankwesen - Dissertationen 1 Universität Zürich - Institut für Schweizerisches Bankwesen - Research Papers 1 Universität Zürich - Institut für Schweizerisches Bankwesen - w 1 Universität Zürich - Institut für schweizerisches Bankwesen - Research Paper Series 1 Universität Zürich - Institut für schweizerisches Bankwesen - Working Papers 1 Working Paper ; 261 (2006) 1
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Source
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USB Cologne (business full texts) 262
Showing 1 - 10 of 262
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The Endogenous Price Dynamics of Emission Allowances: An Application to CO2 Option Pricing
Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011
environmental economics literature. These are the two interesting papers in the increasing body of literature on environ- mental … part of the economics lexicon since Pigou (1918) addressed them in the 1920s. The externality problem arises when one party … reduction is imposed. Indeed, in the empirical literature of environmental economics, a frequently recurring critique is that …
Persistent link: https://www.econbiz.de/10005857751
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Detecting Informed Trading Activities in the OptionsMarkets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009
identified as informed. This method is applied to each putoption contract on 14 companies in various business sectors traded in … this drop in the underlying stock is large enough that its cause is reported in the financial press such as the business …
Persistent link: https://www.econbiz.de/10005868704
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The Executive Turnover Risk Premium
Peters, Florian S.; Wagner, Alexander F. - Institut für Schweizerisches Bankwesen <Zürich> - 2009
CEO compensation has increased substantially over the past 15 years, but so has forcedturnover. Motivated by this observation, we investigate whether part of the developmentof CEO pay can be explained by a premium which compensates CEOs for increased job risk.We ¯nd that for the CEOs of the...
Persistent link: https://www.econbiz.de/10005868976
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Managerial Guidance and Analysts' Underreaction
Bachmann, Kremena; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2008
informa- tion such as qualitative information about market conditions, trend information that may afiect the business …, industry speciflc information, quantitative infor- mation on business measures and assumptions, or forecasts of factors that …
Persistent link: https://www.econbiz.de/10005858027
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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas
Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Emile Bernheim (ULB). † Swiss Finance Institute and Imperial College, Tanaka Business School, London SW7 2AZ, UK. Tel … Business, Department of Finance, College Park, MD 20742-1815, Tel: +13014050572. E-mail: wermers@umd.edu ABSTRACT This paper …
Persistent link: https://www.econbiz.de/10005858726
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Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory or Prospect Theory. The proof is based on methods...
Persistent link: https://www.econbiz.de/10005858203
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Testing for Stochastic Dominance Efficiency
Scaillet, Olivier; Topaloglou, Nikolas - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Vogt, 102 CH - 1211 Gen`eve 4, Suisse olivier.scaillet@hec.unige.ch Nikolas Topaloglou DIEES Athens University of Economics … and Business 76, Patission Str., Athens 104 34 Greece nikolas@aueb.gr This version: April 2008 (first version : July 2005 …05, 91B06, 91B30. 1 Introduction Stochastic dominance is a central theme in a wide variety of applications in economics …
Persistent link: https://www.econbiz.de/10005858776
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Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?
Mertens, Elmar - Institut für Schweizerisches Bankwesen <Zürich> - 2008
European Economics Association meeting 2007 in Budapest. All remaining errors are of course mine. yThis research has been … context of economics see Hansen and Sargent (2007, 2005). 14 Theorem 1 (Spectral Factorization, (Hannan 1970)). Given a …- rameter values familiar from the business cycle literature. Utility is specifled as u(c;l) = logc+ˆlog(1¡l) (consistent with …
Persistent link: https://www.econbiz.de/10005858053
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Arbitrage-free market models for option prices : The multi-strike case
Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008
This paper studies modelling and existence issues for market models of option prices in a continuous-time framework with one stock, one bond and a family of European call options for one fixed maturity and all strikes. After arguing that (classical) implied volatilities are ill-suited for...
Persistent link: https://www.econbiz.de/10005858204
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
. aSwiss Finance Institute and University of Lausanne, Faculty of Business and Economics, CH 1015 Lausanne, Switzerland. E …
Persistent link: https://www.econbiz.de/10005857736
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