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  • Search: subject:"Dispersion Trading"
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Year of publication
Subject
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Dispersion Trading 3 Theorie 3 Volatilität 3 dispersion trading 3 Capital income 2 Conditional Variance Swap 2 Corridor Variance Swap 2 Gamma Swap 2 Kapitaleinkommen 2 Portfolio selection 2 Portfolio-Management 2 Theory 2 Variance Swap 2 Volatility 2 Volatility Replication 2 Volatility Trading 2 capital asset pricing model 2 systematic risk 2 unsystematic risk 2 ARCH model 1 ARCH-Modell 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Basket options 1 Beta risk 1 Betafaktor 1 CAPM 1 Conditional dependence 1 Correlation 1 Correlation risk premium 1 Cross-Section of Option Returns 1 Deutschland 1 Dispersion trading 1 Finanzderivat 1 Implied correlation 1 Korrelation 1 Market segmentation 1 Marktsegmentierung 1 Maßzahl 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2 Aufsatz im Buch 1 Book section 1 Working Paper 1
Language
All
English 6 Undetermined 1
Author
All
Härdle, Wolfgang Karl 2 Silyakova, Elena 2 Cayetano, Gea 1 Marshall, Cara 1 Marshall, Cara M. 1 Sokolinskiy, Oleg 1 Tosi, Adriano 1
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Institution
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Department of Economics, Queens College 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Applied economics 1 Essays in systematic asset pricing 1 MPRA Paper 1 Review of quantitative finance and accounting 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Working Papers / Department of Economics, Queens College 1
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Source
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ECONIS (ZBW) 3 RePEc 3 EconStor 1
Showing 1 - 7 of 7
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International volatility arbitrage
Tosi, Adriano - In: Essays in systematic asset pricing, (pp. 19-89). 2019
Persistent link: https://www.econbiz.de/10012103506
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Conditional dependence in post-crisis markets : dispersion and correlation skew trades
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 55 (2020) 2, pp. 389-426
Persistent link: https://www.econbiz.de/10012303884
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Volatility investing with variance swaps
Härdle, Wolfgang Karl; Silyakova, Elena - 2010
investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance …
Persistent link: https://www.econbiz.de/10010319195
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Volatility Investing with Variance Swaps
Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance …
Persistent link: https://www.econbiz.de/10008476280
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Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation
Marshall, Cara M. - In: Applied economics 47 (2015) 1/3, pp. 1-11
Persistent link: https://www.econbiz.de/10010463955
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Isolating the Systematic Component of a Single Stock’s (or Portfolio’s) Standard Deviation
Marshall, Cara - Department of Economics, Queens College - 2008
This paper revisits the roots of modern portfolio theory and the recognition that a stock’s (or a stock portfolio’s) risk can be decomposed into a systematic component and an unsystematic component, and, further, that only the former should contribute to expected return. However, instead of...
Persistent link: https://www.econbiz.de/10005800082
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Studying the Properties of the Correlation Trades
Cayetano, Gea - Volkswirtschaftliche Fakultät, … - 2007
This thesis tries to explore the profitability of the dispersion trading strategies. We begin examining the different … methods proposed to price variance swaps. We have developed a model that explains why the dispersion trading arises and what … the main drivers are. After a description of our model, we implement a dispersion trading in the EuroStoxx 50. We analyze …
Persistent link: https://www.econbiz.de/10011107442
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