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  • Search: subject:"implied correlation"
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Year of publication
Subject
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Korrelation 28 Correlation 25 Portfolio-Management 18 implied correlation 18 Volatility 17 Volatilität 17 Portfolio selection 16 Option pricing theory 14 Optionspreistheorie 14 Implied correlation 10 Risikoprämie 10 Risk premium 10 Schätzung 9 Börsenkurs 8 Capital income 8 Kapitaleinkommen 8 Option trading 8 Optionsgeschäft 8 ARCH model 7 ARCH-Modell 7 Estimation 7 Implied Correlation 7 Share price 7 Theorie 7 Forecasting model 6 Prognoseverfahren 6 Theory 6 Risiko 5 variance risk premium 5 CAPM 4 Risikomaß 4 Risk 4 Risk measure 4 Aktienindex 3 Arbitrage Pricing 3 Arbitrage pricing 3 Kreditrisiko 3 Options 3 Stochastic process 3 Stochastischer Prozess 3
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Online availability
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Free 24 Undetermined 17
Type of publication
All
Book / Working Paper 25 Article 19
Type of publication (narrower categories)
All
Article in journal 16 Aufsatz in Zeitschrift 16 Working Paper 14 Arbeitspapier 8 Graue Literatur 8 Non-commercial literature 8 Collection of articles of several authors 1 Collection of articles written by one author 1 Hochschulschrift 1 Sammelwerk 1 Sammlung 1
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Language
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English 37 Undetermined 7
Author
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Vilkov, Grigory 4 Distaso, Walter 3 Mele, Antonio 3 Vilkovz, Grigory 3 Xiaox, Yan 3 Beer, Simone 2 Deelstra, Griselda 2 Faria, Gonçalo 2 Fink, Holger Maria 2 Hager, Svenja 2 Heidorn, Thomas 2 Hollstein, Fabian 2 Härdle, Wolfgang Karl 2 Kahlert, Dennis 2 Kosowski, Robert L. 2 Prokopczuk, Marcel 2 Rayée, Grégory 2 Schadner, Wolfgang 2 Schöbel, Rainer 2 Silyakova, Elena 2 Wang, Tianyu 2 Wese Simen, Chardin 2 Alexandra, Carol 1 Ballota, Laura 1 Ballotta, Laura 1 Bombardini, Matilde 1 Buss, Adrian 1 Cecchetti, Sara 1 Clements, Adam E 1 Coleman-Fenn, Christopher A 1 Cotter, John 1 Cutinelli-Rendina, Olimpia 1 Echaust, Krzysztof 1 Escobar, Marcos 1 Geppert, Sabrina 1 Giandomenico, Rossano 1 Hofert, Marius 1 Hui, Cho H. 1 Hui, Cho-Hoi 1 Just, Małgorzata 1
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Institution
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Banca d'Italia 1 Frankfurt School of Finance and Management 1 Geary Institute, University College Dublin 1 Henley Business School, University of Reading 1 National Centre for Econometric Research (NCER) 1 Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance 1 School of Economics and Management, University of Aarhus 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1
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Published in...
All
Discussion papers / CEPR 3 Finance research letters 3 Frankfurt School - Working Paper Series 2 Journal of banking & finance 2 Quantitative finance 2 SAFE Working Paper 2 Tübinger Diskussionsbeiträge 2 Applied economics letters 1 CREATES Research Papers 1 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 1 ECARES working paper 1 EconoQuantum : Revista de Economía y Negocios 1 European journal of operational research : EJOR 1 Faculty & research / Insead : working paper series 1 Financial Markets and Portfolio Management 1 Hannover Economic Papers (HEP) 1 ICMA Centre Discussion Papers in Finance 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of forecasting 1 Journal of Banking & Finance 1 Journal of mathematical finance 1 MPRA Paper 1 NCER Working Paper Series 1 Quantitative finance and economics 1 Research paper series / Swiss Finance Institute 1 Review of quantitative finance and accounting 1 SAFE Working Paper Series 1 SAFE working paper 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Staff Report 1 Temi di discussione (Economic working papers) 1 The journal of computational finance 1 The journal of futures markets 1 Working Papers / Geary Institute, University College Dublin 1
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Source
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ECONIS (ZBW) 25 RePEc 13 EconStor 6
Showing 1 - 10 of 44
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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...
Persistent link: https://www.econbiz.de/10012421289
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Forward looking up-/down correlations
Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495
Persistent link: https://www.econbiz.de/10012592490
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Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10013465888
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Essays on insurance-linked securities and foreign exchange options
Beer, Simone - 2019
interdependences between implied correlation and implied volatility. …
Persistent link: https://www.econbiz.de/10012152695
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Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
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The correlation risk premium : international evidence
Faria, Gonçalo; Kosowski, Robert L.; Wang, Tianyu - In: Journal of banking & finance 136 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013448802
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The correlation risk premium : international evidence
Faria, Gonçalo; Kosowski, Robert L.; Wang, Tianyu - 2021
Persistent link: https://www.econbiz.de/10012592939
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Lobbying behind the frontier
Bombardini, Matilde; Cutinelli-Rendina, Olimpia; … - 2021
Persistent link: https://www.econbiz.de/10012592948
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Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
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