//--> //--> //-->
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
~isPartOf:"Working Paper Series: Finance and Accounting"
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:"model misspecification"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Discretization Error
1
Model Mis-Specification
1
Stochastic Volatility
1
Stochastic jumps
1
Stochastic volatility
1
Volatility Risk Premium
1
discrete trading
1
hedging error
1
incomplete markets
1
market prices of risk
1
model mis-specification
1
model misspecification
1
robust hedging
1
superhedging
1
tractable hedging
1
more ...
less ...
Online availability
All
Free
3
Type of publication
All
Book / Working Paper
3
Language
All
Undetermined
3
Author
All
Branger, Nicole
3
Schlag, Christian
2
Mahayni, Antje
1
Institution
All
Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main
3
Published in...
All
Working Paper Series: Finance and Accounting
Working Paper
12
SSE/EFI Working Paper Series in Economics and Finance
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Bonn Econ Discussion Papers
6
Journal of econometrics
6
CEPR Discussion Papers
5
Journal of Econometrics
5
CEMMAP working papers / Centre for Microdata Methods and Practice
4
CESifo Working Paper
4
Psychometrika
4
Working papers / Federal Reserve Bank of Atlanta
4
cemmap working paper
4
CESifo working papers
3
Discussion Papers / School of Economics, UNSW Business School
3
Journal of Multivariate Analysis
3
Journal of financial economics
3
Management science : journal of the Institute for Operations Research and the Management Sciences
3
Working paper
3
Working papers / Penn Institute for Economic Research
3
Annals of the Institute of Statistical Mathematics
2
Applied economics
2
Bank of England working papers
2
BuR - Business Research
2
Computational Statistics
2
Discussion Paper / Tilburg University, Center for Economic Research
2
Discussion paper / Tinbergen Institute
2
Discussion paper series / IZA
2
Discussion papers / CEPR
2
ECB Working Paper
2
Economics Letters
2
Economics letters
2
IZA Discussion Papers
2
Journal of economic dynamics & control
2
Journal of economic theory
2
LEM working paper series
2
Quantitative economics : QE ; journal of the Econometric Society
2
Research paper series / Swiss Finance Institute
2
Review of Economic Dynamics
2
Scandinavian actuarial journal
2
more ...
less ...
Source
All
RePEc
3
Showing
1
-
3
of
3
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole
;
Schlag, Christian
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2008
models. We show, however, that the problems of discrete trading and
model
mis-specification
, which are necessarily present in …
Persistent link: https://www.econbiz.de/10005102178
Saved in:
2
Tractable Hedging - An Implementation of Robust Hedging Strategies
Branger, Nicole
;
Mahayni, Antje
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2006
the exact specification of the volatility process and therefore mitigates problems caused by
model
misspecification
. A …
Persistent link: https://www.econbiz.de/10005112800
Saved in:
3
Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole
;
Schlag, Christian
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2004
form solutions for the expected option hedging error under discrete trading and
model
mis-specification
. Compared to the …
Persistent link: https://www.econbiz.de/10005057037
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->